Working Papers
Hedge Fund Herding in Currency Futures

SSRN Link Here

I study hedge fund herding patterns in currency futures contracts and find evidence of herding. High-interest (low-interest) currencies exhibit higher buy-side (sell-side) herding, consistent with carry trade positions. A strategy herding measure is then proposed that is used to track hedge fund herding in the carry trade strategy. I find that hedge fund carry trade strategy herding positively predicts future returns, a result that is robust to a host of other activity measures. I do not find hedge fund herding to be destabilizing, and investors can improve performance by following hedge fund herding behaviour in the carry trade.

GARCH-MIDAS with professional forecaster disagreement: the case of crude oil

With Hou, A.J., Xu, X., & Ye, X.

No Paper in Circulation.

CEO Social Network and Overconfidence

With Jonsson, S. & Hou, A.J.

No Paper in Circulation

Rich Enough to Care?

With Siegert, S.

No Paper in Circulation.

Published Research
Speculator activity and the cross-predictability of FX returns

Hasselgren, A., Peltomäki, J., & Graham, M. (2020). Speculator activity and the cross-asset predictability of FX returns. International Review of Financial Analysis, 101561.

Link here

Investor attention to market categories and market volatility: the case of emerging markets

Peltomäki, J., Graham, M., & Hasselgren, A. (2018). Investor attention to market categories and market volatility: The case of emerging markets. Research in International Business and Finance, 44, 532-546.

Link here

Using CO2 Emission Allowances in Equity Portfolios

Graham, M., Hasselgren, A., & Peltomäki, J. (2016). Using CO2 Emission Allowances in Equity Portfolios. In Handbook of Environmental and Sustainable Finance (pp. 359-370). Academic Press. 

Link here