University of Pennsylvania, New York University, and National Bureau of Economic Research. For useful comments, I am grateful to two anonymous referees, Bob Cumby, René Stulz, and seminar participants at the National Bureau of Economic Research Summer Institute, Columbia University, the Wharton School, University of Michigan, and New York University. I am also indebted to Alberto Giovannini and Philippe Jorion for providing the 7-day Eurocurrency deposit data, to Ross Levine and Steve Scott for assistance in using the DRI daily data tape, and to Naveen Seth for superb research assistance. Research support from the Glucksman Institute and the Salomon Brothers Center for Financial Studies is acknowledged with thanks. Any errors are mine alone.
The Behavior of Eurocurrency Returns Across Different Holding Periods and Monetary Regimes
Article first published online: 30 APR 2012
1990 The American Finance Association
The Journal of Finance
Volume 45, Issue 4, pages 1211–1236, September 1990
How to Cite
LEWIS, K. K. (1990), The Behavior of Eurocurrency Returns Across Different Holding Periods and Monetary Regimes. The Journal of Finance, 45: 1211–1236. doi: 10.1111/j.1540-6261.1990.tb02433.x
- Issue published online: 30 APR 2012
- Article first published online: 30 APR 2012
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