LUCIO SARNO
21 catalog papers. Identity-linked publications and additional name matches are distinguished below.
ORCID: 0000-0003-1279-9748
Cambridge Judge Business School and Girton College, University of Cambridge, UK; and Centre for Economic Policy Research (CEPR)
Publications
- Factor Models of Asset Returns and Bear Market Risk — Management Science 2026
- Skewness Risk Premia and the Cross Section of Currency Returns — Journal of Financial and Quantitative Analysis 2026
- The trade imbalance network and currency returns — Journal of Financial Economics 2025
- Currency Risk Premiums Redux — The Review of Financial Studies 2024
- Exchange Rates and Sovereign Risk — Management Science 2022
- Foreign Exchange Volume — The Review of Financial Studies 2022
- Risky bank guarantees — Journal of Financial Economics 2020 (name-matched, not ORCID-linked)
- Business cycles and currency returns — Journal of Financial Economics 2020
- Currency Value — The Review of Financial Studies 2017
- Currency Premia and Global Imbalances — The Review of Financial Studies 2016
- Volatility risk premia and exchange rate predictability — Journal of Financial Economics 2016
- Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades — The Journal of Finance 2016
- What Do Stock Markets Tell Us about Exchange Rates? — Review of Finance 2016
- Properties of foreign exchange risk premiums — Journal of Financial Economics 2012 (name-matched, not ORCID-linked)
- Carry Trades and Global Foreign Exchange Volatility — The Journal of Finance 2012
- Spot and forward volatility in foreign exchange — Journal of Financial Economics 2011 (name-matched, not ORCID-linked)
- An Economic Evaluation of Empirical Exchange Rate Models — The Review of Financial Studies 2009
- The expectation hypothesis of the term structure of very short-term rates: Statistical tests and economic value — Journal of Financial Economics 2008 (name-matched, not ORCID-linked)
- The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields — Journal of Financial and Quantitative Analysis 2007
- Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle — Review of Finance 2006
- A general randomized test for Alpha — Journal of the American Statistical Association