Replication Data: Transaction Costs and Asset Allocation in Foreign Exchange Markets
Creators:
Ilias Filippou, Thomas Maurer, Luca Pezzo, Mark Taylor
Publication Date:
2024-05-28
Data Category:
Dataset Description:
This dataset, hosted on Mendeley Data, contains the replication data for the study "Importance of Transaction Costs for Asset Allocation in Foreign Exchange Markets" (Filippou, Maurer, Pezzo & Taylor, 2024, Journal of Financial Economics). It includes currency-level data on bid-ask spreads, exchange rates, and portfolio returns, used to examine how transaction costs affect optimal asset allocation strategies in FX markets and the profitability of currency investment strategies.
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