Momtchil T Pojarliev
Personal Details
First Name: | Momtchil |
Middle Name: | T |
Last Name: | Pojarliev |
Suffix: | |
RePEc Short-ID: | ppo254 |
[This author has chosen not to make the email address public] | |
Research output
Jump to: Working papers ArticlesWorking papers
- Momtchil Pojarliev & Richard M. Levich, 2010. "Detecting Crowded Trades in Currency Funds," NBER Working Papers 15698, National Bureau of Economic Research, Inc.
- Momtchil Pojarliev & Richard M. Levich, 2008.
"Trades of the Living Dead: Style Differences, Style Persistence and Performance of Currency Fund Managers,"
NBER Working Papers
14355, National Bureau of Economic Research, Inc.
- Pojarliev, Momtchil & Levich, Richard M., 2010. "Trades of the living dead: Style differences, style persistence and performance of currency fund managers," Journal of International Money and Finance, Elsevier, vol. 29(8), pages 1752-1775, December.
- Momtchil Pojarliev & Richard M. Levich, 2007. "Do Professional Currency Managers Beat the Benchmark?," NBER Working Papers 13714, National Bureau of Economic Research, Inc.
Articles
- Pojarliev, Momtchil & Levich, Richard M., 2010.
"Trades of the living dead: Style differences, style persistence and performance of currency fund managers,"
Journal of International Money and Finance,
Elsevier, vol. 29(8), pages 1752-1775, December.
- Momtchil Pojarliev & Richard M. Levich, 2008. "Trades of the Living Dead: Style Differences, Style Persistence and Performance of Currency Fund Managers," NBER Working Papers 14355, National Bureau of Economic Research, Inc.
- Momtchil Pojarliev, 2005. "Performance of Currency Trading Strategies in Developed and Emerging Markets: Some Striking Differences," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 19(3), pages 297-311, October.
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Working papers
- Momtchil Pojarliev & Richard M. Levich, 2010.
"Detecting Crowded Trades in Currency Funds,"
NBER Working Papers
15698, National Bureau of Economic Research, Inc.
Cited by:
- Gueorgui Konstantinov, 2016. "Capturing short-term and long-term alpha of global bond portfolios: evidence from EUR-investors’ perspective," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 30(3), pages 337-365, August.
- Reed, Adam V., 2015. "Connecting supply, short-sellers and stock returns: Research challenges," Journal of Accounting and Economics, Elsevier, vol. 60(2), pages 97-103.
- Osler, Carol & Savaser, Tanseli, 2011.
"Extreme returns: The case of currencies,"
Journal of Banking & Finance,
Elsevier, vol. 35(11), pages 2868-2880, November.
- Carol Osler & Tanseli Savaser, 2010. "Extreme Returns: The Case of Currencies," Working Papers 04, Brandeis University, Department of Economics and International Businesss School.
- Spronk, Richard & Verschoor, Willem F.C. & Zwinkels, Remco C.J., 2013. "Carry trade and foreign exchange rate puzzles," European Economic Review, Elsevier, vol. 60(C), pages 17-31.
- Bussière, Matthieu & Hoerova, Marie & Klaus, Benjamin, 2015.
"Commonality in hedge fund returns: Driving factors and implications,"
Journal of Banking & Finance,
Elsevier, vol. 54(C), pages 266-280.
- Bussiere, M. & Hoerova, M. & Klaus, B., 2012. "Commonality in hedge fund returns: driving factors and implications," Working papers 373, Banque de France.
- Bussière, Matthieu & Hoerova, Marie & Klaus, Benjamin, 2014. "Commonality in hedge fund returns: driving factors and implications," Working Paper Series 1658, European Central Bank.
- Sam Nasypbek & Scheherazade S Rehman, 2011. "Explaining the returns of active currency managers," BIS Papers chapters,in: Bank for International Settlements (ed.), Portfolio and risk management for central banks and sovereign wealth funds, volume 58, pages 211-256 Bank for International Settlements.
- Momtchil Pojarliev & Richard M. Levich, 2008.
"Trades of the Living Dead: Style Differences, Style Persistence and Performance of Currency Fund Managers,"
NBER Working Papers
14355, National Bureau of Economic Research, Inc.
- Pojarliev, Momtchil & Levich, Richard M., 2010. "Trades of the living dead: Style differences, style persistence and performance of currency fund managers," Journal of International Money and Finance, Elsevier, vol. 29(8), pages 1752-1775, December.
Cited by:
- Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas, 2012.
"Currency momentum strategies,"
Journal of Financial Economics,
Elsevier, vol. 106(3), pages 660-684.
- Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas, 2012. "Currency Momentum Strategies," CEPR Discussion Papers 8747, C.E.P.R. Discussion Papers.
- Lukas Menkhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2011. "Currency Momentum Strategies," BIS Working Papers 366, Bank for International Settlements.
- Lukas Menkhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2012. "Currency Momentum Strategies," Working Paper series 09_12, Rimini Centre for Economic Analysis.
- Jacob Gyntelberg & Andreas Schrimpf, 2011. "FX strategies in periods of distress," BIS Quarterly Review, Bank for International Settlements, December.
- Abbey, Boris S. & Doukas, John A., 2015. "Do individual currency traders make money?," Journal of International Money and Finance, Elsevier, vol. 56(C), pages 158-177.
- Momtchil Pojarliev & Richard M. Levich, 2010. "Detecting Crowded Trades in Currency Funds," NBER Working Papers 15698, National Bureau of Economic Research, Inc.
- Michael Melvin & John Prins & Duncan Shand, 2013.
"Forecasting Exchange Rates: An Investor Perspective,"
CESifo Working Paper Series
4238, CESifo Group Munich.
- Melvin, Michael & Prins, John & Shand, Duncan, 2013. "Forecasting Exchange Rates: an Investor Perspective," Handbook of Economic Forecasting, Elsevier.
- Momtchil Pojarliev & Richard Levich, 2014. "Evaluating absolute return managers," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 28(1), pages 95-103, February.
- Darolles, Serge & Florens, Jean-Pierre & Simon, Guillaume, 2010.
"Nonparametric Analysis of Hedge Funds Lifetimes,"
IDEI Working Papers
620, Institut d'Économie Industrielle (IDEI), Toulouse.
- Darolles, Serge & Florens, Jean-Pierre & Simon, Guillaume, 2010. "Nonparametric Analysis of Hedge Funds Lifetimes," TSE Working Papers 10-174, Toulouse School of Economics (TSE).
- Gueorgui Konstantinov, 2016. "Capturing short-term and long-term alpha of global bond portfolios: evidence from EUR-investors’ perspective," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 30(3), pages 337-365, August.
- Accominotti, Olivier & Chambers, David, 2014.
"Out-of-Sample Evidence on the Returns to Currency Trading,"
CEPR Discussion Papers
9852, C.E.P.R. Discussion Papers.
- Accominotti, Olivier & Chambers, David, 2014. "Out-of-sample evidence on the returns to currency trading," Economic History Working Papers 84582, London School of Economics and Political Science, Department of Economic History.
- ter Ellen, Saskia & Verschoor, Willem F.C. & Zwinkels, Remco C.J., 2013. "Dynamic expectation formation in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 75-97.
- Maria Socorro Gochoco-Bautista & Jianxin Wang & Minxian Yang, 2014. "Commodity Price, Carry Trade, and the Volatility and Liquidity of Asian Currencies," The World Economy, Wiley Blackwell, vol. 37(6), pages 811-833, June.
- Louis Raffestin, 2016. "Foreign exchange investment rules and endogenous currency crashes," Working Papers hal-01277113, HAL.
- Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas, 2016.
"Currency Value,"
CEPR Discussion Papers
11324, C.E.P.R. Discussion Papers.
- Lukas Menkhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2017. "Currency Value," Review of Financial Studies, Society for Financial Studies, vol. 30(2), pages 416-441.
- Spronk, Richard & Verschoor, Willem F.C. & Zwinkels, Remco C.J., 2013. "Carry trade and foreign exchange rate puzzles," European Economic Review, Elsevier, vol. 60(C), pages 17-31.
- Moustafa Abuelfadl, 2017. "Individual Foreign Exchange Investors, Return Predictability And Market Timing," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 12(01), pages 1-28, March.
- Òscar Jordà & Alan M. Taylor, 2009.
"The Carry Trade and Fundamentals: Nothing to Fear But FEER Itself,"
NBER Working Papers
15518, National Bureau of Economic Research, Inc.
- Jordà, Òscar & Taylor, Alan M., 2009. "The Carry Trade and Fundamentals: Nothing to Fear But FEER Itself," CEPR Discussion Papers 7568, C.E.P.R. Discussion Papers.
- Jordà, Òscar & Taylor, Alan M., 2012. "The carry trade and fundamentals: Nothing to fear but FEER itself," Journal of International Economics, Elsevier, vol. 88(1), pages 74-90.
- Federico Nucera & Giorgio Valente, 2013.
"Carry Trades and the Performance of Currency Hedge Funds,"
Working Papers
032013, Hong Kong Institute for Monetary Research.
- Nucera, Federico & Valente, Giorgio, 2013. "Carry trades and the performance of currency hedge funds," Journal of International Money and Finance, Elsevier, vol. 33(C), pages 407-425.
- Jylhä, Petri & Suominen, Matti, 2011. "Speculative capital and currency carry trades," Journal of Financial Economics, Elsevier, vol. 99(1), pages 60-75, January.
- Boldron, François & Fève, Frédérique & Florens, Jean-Pierre & Panet-Amaro, C. & Valognes, C., 2010.
"Econometric Models and the Evolution of Post-Offices Network,"
IDEI Working Papers
626, Institut d'Économie Industrielle (IDEI), Toulouse.
- Boldron, François & Fève, Frédérique & Florens, Jean-Pierre & Panet-Amaro, C. & Valognes, C., 2010. "Econometric Models and the Evolution of Post-Offices Network," TSE Working Papers 10-180, Toulouse School of Economics (TSE).
- Alda, Mercedes & Andreu, Laura & Sarto, José Luis, 2017. "Learning about individual managers’ performance in UK pension funds: The importance of specialization," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 654-667.
- Momtchil Pojarliev & Richard M. Levich, 2007.
"Do Professional Currency Managers Beat the Benchmark?,"
NBER Working Papers
13714, National Bureau of Economic Research, Inc.
Cited by:
- Rojahn, Joachim & Röhl, Christian W. & Frère, Eric, 2010. "Optimum Portfolio ETF Indices: Benchmarking für multidimensional diversifizierte Wertpapierportfolios," Berichte aus der Forschung der FOM 75202, FOM Hochschule für Oekonomie & Management.
- Dunis, Christian & Kellard, Neil M. & Snaith, Stuart, 2013. "Forecasting EUR–USD implied volatility: The case of intraday data," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4943-4957.
- Abbey, Boris S. & Doukas, John A., 2015. "Do individual currency traders make money?," Journal of International Money and Finance, Elsevier, vol. 56(C), pages 158-177.
- Momtchil Pojarliev & Richard M. Levich, 2010. "Detecting Crowded Trades in Currency Funds," NBER Working Papers 15698, National Bureau of Economic Research, Inc.
- Dimitrios Bisias & Mark Flood & Andrew W. Lo & Stavros Valavanis, 2012.
"A Survey of Systemic Risk Analytics,"
Annual Review of Financial Economics,
Annual Reviews, vol. 4(1), pages 255-296, October.
- Dimitrios Bisias & Mark Flood & Andrew W. Lo & Stavros Valavanis, 2012. "A Survey of Systemic Risk Analytics," Working Papers 12-01, Office of Financial Research, US Department of the Treasury.
- Gueorgui Konstantinov, 2014. "Active currency management of international bond portfolios," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 28(1), pages 63-94, February.
- Accominotti, Olivier & Chambers, David, 2016.
"If You're So Smart: John Maynard Keynes and Currency Speculation in the Interwar Years,"
The Journal of Economic History,
Cambridge University Press, vol. 76(02), pages 342-386, June.
- Accominotti, Olivier & Chambers, David, 2016. "If you’re so smart: John Maynard Keynes and currency speculation in the interwar years," LSE Research Online Documents on Economics 64722, London School of Economics and Political Science, LSE Library.
- Bank for International Settlements, 2015. "Currency carry trades in Latin America," BIS Papers, Bank for International Settlements, number 81, November.
- Benjamin Born & Michael Ehrmann & Marcel Fratzscher, 2011.
"Central bank communication on financial stability,"
NBP Working Papers
93, Narodowy Bank Polski, Economic Research Department.
- Benjamin Born & Michael Ehrmann & Marcel Fratzscher, 2014. "Central Bank Communication on Financial Stability," Economic Journal, Royal Economic Society, vol. 124(577), pages 701-734, June.
- Ehrmann, Michael & Fratzscher, Marcel & Born, Benjamin, 2011. "Central bank communication on financial stability," Working Paper Series 1332, European Central Bank.
- Michael Melvin & Duncan Shand, 2016. "When Carry Goes Bad: The Magnitude, Causes, and Duration of Currency Carry Unwinds," CESifo Working Paper Series 6210, CESifo Group Munich.
- MacDonald, Ronald & Menkhoff, Lukas & Rebitzky, Rafael R., 2009. "Exchange rate forecasters’ performance: evidence of skill?," SIRE Discussion Papers 2009-10, Scottish Institute for Research in Economics (SIRE).
- Fratzscher, Marcel, 2008.
"How successful is the G7 in managing exchange rates?,"
Working Paper Series
952, European Central Bank.
- Fratzscher, Marcel, 2009. "How successful is the G7 in managing exchange rates?," Journal of International Economics, Elsevier, vol. 79(1), pages 78-88, September.
- Fratzscher, Marcel, 2009. "How successful is the G7 in managing exchange rates?," Globalization and Monetary Policy Institute Working Paper 24, Federal Reserve Bank of Dallas.
- Born, Benjamin & Ehrmann, Michael & Fratzscher, Marcel, 2010.
"Macroprudential policy and central bank communication,"
CEPR Discussion Papers
8094, C.E.P.R. Discussion Papers.
- Benjamin Born & Michael Ehrmann & Marcel Fratzscher, 2011. "Macroprudential policy and central bank communication," BIS Papers chapters,in: Bank for International Settlements (ed.), Macroprudential regulation and policy, volume 60, pages 107-110 Bank for International Settlements.
- Michael Melvin & John Prins & Duncan Shand, 2013.
"Forecasting Exchange Rates: An Investor Perspective,"
CESifo Working Paper Series
4238, CESifo Group Munich.
- Melvin, Michael & Prins, John & Shand, Duncan, 2013. "Forecasting Exchange Rates: an Investor Perspective," Handbook of Economic Forecasting, Elsevier.
- Momtchil Pojarliev & Richard Levich, 2014. "Evaluating absolute return managers," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 28(1), pages 95-103, February.
- Gueorgui Konstantinov, 2016. "Capturing short-term and long-term alpha of global bond portfolios: evidence from EUR-investors’ perspective," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 30(3), pages 337-365, August.
- Ronald MacDonald & Lukas Menkhoff & Rafael R. Rebitzky, 2009.
"Exchange rate forecasters’ performance: evidence of skill?,"
Working Papers
2009_13, Business School - Economics, University of Glasgow.
- Ronald MacDonald & Lukas Menkhoff & Rafael R. Rebitzky, 2009. "Exchange Rate Forecasters' Performance: Evidence of Skill?," CESifo Working Paper Series 2615, CESifo Group Munich.
- ter Ellen, Saskia & Verschoor, Willem F.C. & Zwinkels, Remco C.J., 2013. "Dynamic expectation formation in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 75-97.
- Momtchil Pojarliev & Richard M. Levich, 2008.
"Trades of the Living Dead: Style Differences, Style Persistence and Performance of Currency Fund Managers,"
NBER Working Papers
14355, National Bureau of Economic Research, Inc.
- Pojarliev, Momtchil & Levich, Richard M., 2010. "Trades of the living dead: Style differences, style persistence and performance of currency fund managers," Journal of International Money and Finance, Elsevier, vol. 29(8), pages 1752-1775, December.
- Michael Melvin & Duncan Shand, 2010. "Active Currency Investing and Performance Benchmarks," CESifo Working Paper Series 3052, CESifo Group Munich.
- King, Michael & Sarno, Lucio & Sojli, Elvira, 2010. "Timing exchange rates using order flow: The case of the Loonie," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 2917-2928, December.
- Spronk, Richard & Verschoor, Willem F.C. & Zwinkels, Remco C.J., 2013. "Carry trade and foreign exchange rate puzzles," European Economic Review, Elsevier, vol. 60(C), pages 17-31.
- Richard M. Levich & Valerio Poti, 2008.
"Predictability and 'Good Deals' in Currency Markets,"
NBER Working Papers
14597, National Bureau of Economic Research, Inc.
- Levich, Richard M. & Potì, Valerio, 2015. "Predictability and ‘good deals’ in currency markets," International Journal of Forecasting, Elsevier, vol. 31(2), pages 454-472.
- Òscar Jordà & Alan M. Taylor, 2009.
"The Carry Trade and Fundamentals: Nothing to Fear But FEER Itself,"
NBER Working Papers
15518, National Bureau of Economic Research, Inc.
- Jordà, Òscar & Taylor, Alan M., 2009. "The Carry Trade and Fundamentals: Nothing to Fear But FEER Itself," CEPR Discussion Papers 7568, C.E.P.R. Discussion Papers.
- Jordà, Òscar & Taylor, Alan M., 2012. "The carry trade and fundamentals: Nothing to fear but FEER itself," Journal of International Economics, Elsevier, vol. 88(1), pages 74-90.
- Sam Nasypbek & Scheherazade S Rehman, 2011. "Explaining the returns of active currency managers," BIS Papers chapters,in: Bank for International Settlements (ed.), Portfolio and risk management for central banks and sovereign wealth funds, volume 58, pages 211-256 Bank for International Settlements.
- Federico Nucera & Giorgio Valente, 2013.
"Carry Trades and the Performance of Currency Hedge Funds,"
Working Papers
032013, Hong Kong Institute for Monetary Research.
- Nucera, Federico & Valente, Giorgio, 2013. "Carry trades and the performance of currency hedge funds," Journal of International Money and Finance, Elsevier, vol. 33(C), pages 407-425.
- Jylhä, Petri & Suominen, Matti, 2011. "Speculative capital and currency carry trades," Journal of Financial Economics, Elsevier, vol. 99(1), pages 60-75, January.
- Jongen, Ron & Verschoor, Willem F.C. & Wolff, Christian C.P. & Zwinkels, Remco C.J., 2012. "Explaining dispersion in foreign exchange expectations: A heterogeneous agent approach," Journal of Economic Dynamics and Control, Elsevier, vol. 36(5), pages 719-735.
Articles
- Pojarliev, Momtchil & Levich, Richard M., 2010.
"Trades of the living dead: Style differences, style persistence and performance of currency fund managers,"
Journal of International Money and Finance,
Elsevier, vol. 29(8), pages 1752-1775, December.
See citations under working paper version above.
- Momtchil Pojarliev & Richard M. Levich, 2008. "Trades of the Living Dead: Style Differences, Style Persistence and Performance of Currency Fund Managers," NBER Working Papers 14355, National Bureau of Economic Research, Inc.
- Momtchil Pojarliev, 2005.
"Performance of Currency Trading Strategies in Developed and Emerging Markets: Some Striking Differences,"
Financial Markets and Portfolio Management,
Springer;Swiss Society for Financial Market Research, vol. 19(3), pages 297-311, October.
Cited by:
- Shehadeh, Ali & Erdős, Péter & Li, Youwei & Moore, Michael, 2016.
"US Dollar Carry Trades in the Era of “Cheap Money”,"
MPRA Paper
70770, University Library of Munich, Germany.
- Ali Shehadeh & Peter Erdos & Youwei Li & Michael Moore, 2016. "US Dollar Carry Trades in the Era of "Cheap Money"," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(5), pages 374-404, October.
- Peltomäki, Jarkko, 2008. "Emerging market hedge funds and the yen carry trade," Emerging Markets Review, Elsevier, vol. 9(3), pages 220-229, September.
- Kuang, P. & Schröder, M. & Wang, Q., 2014.
"Illusory profitability of technical analysis in emerging foreign exchange markets,"
International Journal of Forecasting,
Elsevier, vol. 30(2), pages 192-205.
- P Kuang & M Schroder & Q Wang, 2013. "Illusory Profitability of Technical Analysis in Emerging Foreign Exchange Markets," Discussion Papers 13-09, Department of Economics, University of Birmingham.
- Pei Kuang & M. Schröder & Q. Wang, 2013. "Illusory Profitability of Technical Analysis in Emerging Foreign Exchange Markets," CDMA Working Paper Series 201302, Centre for Dynamic Macroeconomic Analysis.
- Tajaddini, Reza & Crack, Timothy Falcon, 2012. "Do momentum-based trading strategies work in emerging currency markets?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(3), pages 521-537.
- Shehadeh, Ali & Li, Youwei & Moore, Michael, 2016. "The Forward Premium Bias, Carry Trade Return and the Risks of Volatility and Liquidity," MPRA Paper 71709, University Library of Munich, Germany.
- Baillie, Richard T. & Chang, Sanders S., 2011. "Carry trades, momentum trading and the forward premium anomaly," Journal of Financial Markets, Elsevier, vol. 14(3), pages 441-464, August.
- Shehadeh, Ali & Erdős, Péter & Li, Youwei & Moore, Michael, 2016.
"US Dollar Carry Trades in the Era of “Cheap Money”,"
MPRA Paper
70770, University Library of Munich, Germany.
More information
Research fields, statistics, top rankings, if available.Statistics
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NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 3 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-IFN: International Finance (1) 2010-02-20
- NEP-MST: Market Microstructure (1) 2008-09-29
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