SFS Cavalcade North America 2026
Darden Graduate School of Business Administration, University of Virginia
May 18-21, 2026
Conference Agenda
Overview and details of the sessions of this conference. Please select a date or location to show only sessions at that day or location. Please select a single session for detailed view (with abstracts and downloads if available).
Please note that all times are shown in the time zone of the conference. The current conference time is: 18th Apr 2026, 05:21:06am EDT
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Agenda Overview |
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Track W4-4: Climate and Asset Pricing
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El Niño and Currency Returns 1Case Western Reserve University; 2Hankuk University of Foreign Studies; 3Cornell University; 4Cambridge University El Nino cycle is a slow-moving global climate phenomenon that hits multiple countries over time in relatively predictable patterns, affecting economic growth and international trade patterns across countries. Examining over different El Nino cycles, we discover a striking pattern of cross-sectional predictability in foreign exchange spot and excess returns. Currencies that appreciated (depreciated) under previous El Nino cycles tend to appreciate (depreciate) when a new El Nino cycle hits. This cross-sectional predictive information arises from the heterogeneous effects of El Nino on countries’ business cycle conditions, resulting in heterogeneous exposures of currencies to El Nino cycles.
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