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Publications (7 of 7) Show all publications
Hoppe, M., Siegert, S., Temiz, S., Seifan, F. & Hasselgren, A. (2023). Academic Misfits. In: S. Robinson, A. Bristow, O. Ratle (Ed.), Doing Academic Careers Differently: Portraits of Academic Life (pp. 196-204). Taylor and Francis
Open this publication in new window or tab >>Academic Misfits
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2023 (English)In: Doing Academic Careers Differently: Portraits of Academic Life / [ed] S. Robinson, A. Bristow, O. Ratle, Taylor and Francis , 2023, p. 196-204Chapter in book (Other academic)
Abstract [en]

What makes an academic? Is it their unyielding devotion to research and teaching, their tendency towards a hermitic existence? Or does it have more to do with their socioeconomic privilege and racial profile? Are academics today any different from what society has always known them to be? How homogenous is the group of academics? Historically, academia was populated by men from the upper classes, often somewhat similar to each other. Over time, structures and procedures were established to ensure both scientific quality and academic exclusion. This chapter deconstructs the myths surrounding academics and the lives they lead within academia. Through shards of broken mirrors is the reader encouraged to look at a group of misfits that are the odd one out in most academic contexts that defy common classifications. Misfits that would like to devote only 40 working hours to academia instead of their whole being. Misfits that use the “wrong” theoretical lenses, unpopular methods, or undesirable contexts. Misfits that don't fit in by matter of race, ethnicity, sex, or social economic class. Misfits that have found their misfitting family and hold on for dear life.

Place, publisher, year, edition, pages
Taylor and Francis, 2023
National Category
Educational Sciences
Identifiers
urn:nbn:se:hj:diva-62153 (URN)10.4324/9781003267553-32 (DOI)2-s2.0-85163449051 (Scopus ID)9781003267553 (ISBN)
Available from: 2023-08-16 Created: 2023-08-16 Last updated: 2023-08-16Bibliographically approved
Hasselgren, A., Peltomäki, J. & Graham, M. (2020). Speculator activity and the cross-asset predictability of FX returns. International Review of Financial Analysis, 72, Article ID 101561.
Open this publication in new window or tab >>Speculator activity and the cross-asset predictability of FX returns
2020 (English)In: International Review of Financial Analysis, ISSN 1057-5219, E-ISSN 1873-8079, Vol. 72, article id 101561Article in journal (Refereed) Published
Abstract [en]

This paper tests the gradual information diffusion hypothesis, which suggests that information spreads gradually across asset markets, to explain the role of speculator activity in the cross-asset return predictability of foreign exchange (FX) market strategies. We argue that the activity of speculators increase the rate of information diffusion across asset markets. Hence, we expect the predictive effect from the equity and commodity markets on FX market strategies to be weaker when speculators are active in the FX market. Our results show that, when speculator activity is high, the equity market's ability to predict the FX market dissipates, but not to the same extent as for the commodity market. Our findings suggest that speculators play a vital role in enhancing informational efficiency in the FX market.

Place, publisher, year, edition, pages
Elsevier, 2020
Keywords
Foreign exchange, Information, Predictability, Speculation, Trading strategies
National Category
Economics
Identifiers
urn:nbn:se:hj:diva-51109 (URN)10.1016/j.irfa.2020.101561 (DOI)000591270200006 ()2-s2.0-85096210703 (Scopus ID);intsam;1505965 (Local ID);intsam;1505965 (Archive number);intsam;1505965 (OAI)
Funder
The Jan Wallander and Tom Hedelius Foundation
Available from: 2020-12-02 Created: 2020-12-02 Last updated: 2021-02-25Bibliographically approved
Hasselgren, A. (2019). Essays on Investor Behavior and Trading Strategies in International Financial Markets. (Doctoral dissertation). Stockholm: Stockholm Business School, Stockholm University
Open this publication in new window or tab >>Essays on Investor Behavior and Trading Strategies in International Financial Markets
2019 (English)Doctoral thesis, comprehensive summary (Other academic)
Abstract [en]

This dissertation contains four articles that in different ways inform on investor behavior in international financial markets, their impact on the underlying market, and the trading strategies that they pursue. Article I studies how hedge funds herd in currency future contracts and how it is affecting the underlying market. The results indicate that hedge funds herd, and that they herd in a pattern that is consistent with them following the carry trade strategy. Hedge fund herding has an impact on the underlying market, in the direction of the herd, and the results give no indication that their herding in destabilizing. Article II examines if limits to arbitrage can help explain the returns to technical analysis strategies in the foreign exchange market. The findings show that returns to technical analysis strategies are higher when limits to arbitrage are more severe, supporting the argument that profit opportunities can persist as arbitrage activity is costly and risky. However, investor sentiment seem to be unrelated to technical analysis returns. The main takeaway is that limits to arbitrage are an important determinant of technical analysis profitability. Article III investigates whether the trading activity of speculators is beneficial for the speed of information diffusion in the foreign exchange market. The findings show that predictive ability of the equity market on foreign exchange strategies dissipates when speculator activity is high. However, the same results are not found for the commodity markets ability to predict foreign exchange strategies. Overall, the results indicate that speculators play a vital role for informational efficiency in the foreign exchange market. Article IV examines the impact of investor attention on stock and foreign exchange market volatility in emerging economies using a newly constructed innovative attention proxies that capture the full spectrum of the dynamics of the information processing stages. The results show that investor attention significantly effects emerging stock market volatility, but not FX market volatility.

Place, publisher, year, edition, pages
Stockholm: Stockholm Business School, Stockholm University, 2019
Keywords
foreign exchange, speculators, hedge funds, investor behavior, trading strategies, information, market efficiency, Business Administration, Företagsekonomi
National Category
Economics
Identifiers
urn:nbn:se:hj:diva-51130 (URN)978-91-7797-723-0 (ISBN)978-91-7797-724-7 (ISBN)
Public defence
2019-09-10, Gröjersalen, hus 3, Kräftriket, Roslagsvägen 101, Stockholm, 13:00 (English)
Opponent
Supervisors
Available from: 2020-12-03 Created: 2020-12-03 Last updated: 2020-12-03Bibliographically approved
Hasselgren, A. (2019). Hedge Fund Herding in the Currency Market.
Open this publication in new window or tab >>Hedge Fund Herding in the Currency Market
2019 (English)Other (Other academic)
Abstract [en]

In this paper, I study the patterns of hedge fund herding in currency future contracts and find evidence that hedge funds herd. High-interest (low-interest) currencies have higher buy-side (sell-side) herding consistent with carry trade positions. I then propose a strategy herding measure that I use 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 measures of activity. I find no that hedge fund herding is destabilizing, and investors can improve performance by following hedge fund herding behavior in the carry trade.

Keywords
herding, hedge funds, carry trade, foreign exchange, Business Administration, Företagsekonomi
National Category
Economics
Identifiers
urn:nbn:se:hj:diva-51128 (URN)
Available from: 2020-12-03 Created: 2020-12-03 Last updated: 2020-12-03Bibliographically approved
Hasselgren, A. (2019). Limits to Arbitrage and Technical Analysis Returns in the Foreign Exchange Market.
Open this publication in new window or tab >>Limits to Arbitrage and Technical Analysis Returns in the Foreign Exchange Market
2019 (English)Other (Other academic)
Abstract [en]

The profitability of technical analysis strategies seriously challenges weak-form market efficiency. An important, unanswered question is why these profit opportunities are not arbitraged away by rational investors. This study tests whether arbitrage risk in the form of limits to arbitrage (LTA) and investor sentiment explain the returns to technical analysis strategies. I find that seven proxies for LTA are positively related to returns to[AH1]  technical analysis portfolios, based on a large set of technical trading rules for six major currencies. However, higher levels of investor sentiment are unrelated to higher returns to technical analysis, contrasting the literature on stock market anomalies and practitioner belief. The main takeaway is that LTA are an important determinant of technical analysis profitability.

Keywords
foreign exchange, technical analysis, limits to arbitrage, false discovery rate, Business Administration, Företagsekonomi
National Category
Economics
Identifiers
urn:nbn:se:hj:diva-51129 (URN)
Available from: 2020-12-03 Created: 2020-12-03 Last updated: 2020-12-03Bibliographically approved
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
Open this publication in new window or tab >>Investor attention to market categories and market volatility: The case of emerging markets
2018 (English)In: Research In International Business and Finance, ISSN 0275-5319, E-ISSN 1878-3384, Vol. 44, p. 532-546Article in journal (Refereed) Published
Abstract [en]

This paper examines the impact of investor attention on stock market and FX market volatility in emerging economies using newly constructed innovative attention proxies that capture the full spectrum of the dynamics of the information processing stages. Our results show that the new practical proxies are better at capturing the complex nature of investor attention to market categories. We find that investor attention explains stock market volatility and shocks to attention but not FX market volatility in emerging markets. Thus, the emerging stock market, an important segment of the global equity market, is particularly sensitive to changes to investor attention. 

Place, publisher, year, edition, pages
Elsevier, 2018
Keywords
Category-learning, Emerging markets, Investor attention, Volatility
National Category
Economics
Identifiers
urn:nbn:se:hj:diva-51125 (URN)10.1016/j.ribaf.2017.07.124 (DOI)000430440500040 ()2-s2.0-85028317923 (Scopus ID)
Available from: 2020-12-03 Created: 2020-12-03 Last updated: 2020-12-03Bibliographically approved
Graham, M., Hasselgren, A. & Peltomäki, J. (2016). Using CO2 Emission Allowances in Equity Portfolios. In: V. Ramiah & G. N. Gregoriou (Ed.), Handbook of Environmental and Sustainable Finance: (pp. 359-370). Elsevier
Open this publication in new window or tab >>Using CO2 Emission Allowances in Equity Portfolios
2016 (English)In: Handbook of Environmental and Sustainable Finance / [ed] V. Ramiah & G. N. Gregoriou, Elsevier, 2016, p. 359-370Chapter in book (Other academic)
Abstract [en]

In this chapter, we show that while the carbon emission allowance futures market, which is still emerging, has gained relative little popularity among investors it can present attractive diversification opportunities for investors. Our findings show that the exposure of these futures returns to equity returns as well as the value factor is low but increases with stock market stress. As our further analysis suggests that investors can also profit from negative convenience yield in carbon emission futures by taking short positions in them, the strategy can be an attractive addition to equity portfolios. We note that potential reasons for the lack of popularity are poor liquidity, lack of investors' attention to the investments, investment ambiguity, and investment constraints. Nevertheless, carbon emission allowances and environmental investments of its kind can be important portfolio diversifiers in future. 

Place, publisher, year, edition, pages
Elsevier, 2016
Keywords
Carbon emissions market, Carbon investors, Cleveland financial stress index, Emissions trading scheme, Futures contract, Portfolio diversification
National Category
Economics
Identifiers
urn:nbn:se:hj:diva-51127 (URN)10.1016/B978-0-12-803615-0.00017-0 (DOI)2-s2.0-84967166450 (Scopus ID)9780128036150 (ISBN)
Available from: 2020-12-03 Created: 2020-12-03 Last updated: 2020-12-03Bibliographically approved
Organisations
Identifiers
ORCID iD: ORCID iD iconorcid.org/0000-0002-1014-9592

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