transaction costs

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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
Creators: Ilias Filippou, Thomas Maurer, Luca Pezzo, Mark Taylor

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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