Recent Books and Monographs

The Role of Currency in Institutional Portfolios
Edited by Momtchil Pojarliev and Richard M. Levich
Risk Books, London, 2014.
Chapter 1. Introduction. "A Role for Currency in Institutional Portfolios"

A New Look at Currency Investing
by Momtchil Pojarliev and Richard M. Levich
CFA Institute Research Foundation Publications, 2012.

Recent Essays and Working Papers

"Network Structure and Pricing in the FX Market"
by Joel Hasbrouck and Richard M. Levich, January 2020.
Published in Journal of Financial Economics, August 2021, Vol. 141, no. 2, pp. 705-29.

"FX Liquidity and Market Metrics: New Findings Based on CLS Bank Settlement Data"
by Joel Hasbrouck and Richard M. Levich, October 2019.
see also "FX Liquidity and Market Metrics: Online Appendices 1 and 2"

"Measuring Excess Predictability of Asset Returns and Market Efficiency Over Time"
by by Richard M. Levich, Thomas Conlon and Valerio Poti.
Published in Economics Letters, February 2019, Vol. 175, pp. 92-96.

"Predictability and Good Deals in Emerging and Developed Currency Markets: The Role of Spot and Forward Speculation"
by Richard M. Levich, Thomas Conlon and Valerio Poti, June 2018.
Published in Journal of International Money and Finance, October 2020, Vol. 107.

"CIP Then and Now: A Brief Survey of Measuring and Exploiting Deviations from Covered Interest Parity"
by Richard M. Levich, May 2017. (Prepared for the BIS Symposium: CIP-RIP?)
Presentation slides

"Settlement Risk in the Global FX Market: How Much Remains?"
by Dino Kos and Richard M. Levich, October 2016.

"Development and Functioning of FX Markets in Asia and the Pacific"
by Richard M. Levich and Frank Packer
Published in "Cross-Border Financial Linkages in Asia and the Pacific," Bank for International Settlements, BIS Papers No. 82, 2015.
Published in Financial Markets, Institutions and Instruments, February 2017, Vol. 26, no.1, pp. 3-58.

"Should investors avoid or seek out currency risk? How to resolve a long-standing puzzle"
by Momtchil Pojarliev and Richard M. Levich, August 2014.
Published in Journal of Financial Perspectives, 2014, Vol. 2, Issue 3, pp. 59-64.

"The Impact of Currency Exposure on Institutional Investment Performance: The Good, the Bad, and the Ugly,"
by Momtchil Pojarliev, Richard M. Levich and Ross Kasarda, January 2014.

"Gaining Currency: Is FX an Untapped Alpha Source for Institutional Investors?"
An interview with Richard Levich and Momtchil Pojarliev, in CFA Institute Magazine, Nov./Dec. 2013, pp. 20-23.

"Evaluating Absolute Return Managers"
by Momtchil Pojarliev and Richard M. Levich, September 2013.
Published in Financial Markets and Portfolio Management, February 2014, pp. 95-103.

"Gaining a perspective on currency hedge fund industry recent performance"
by Momtchil Pojarliev and Richard M. Levich.
Published in Hedge Funds Review, online version (November 19, 2012).

"Hunting for Alpha Hunters in the Currency Jungle"
by Momtchil Pojarliev and Richard M. Levich, April 2012.
Published in the Journal of Portfolio Management, Fall 2012, pp. 3-7.
A video based on this essay is available here.

"FX Counterparty Risk and Trading Activity in Currency Forward and Futures Markets"
by Richard M. Levich, May 2012.
Published in Review of Financial Economics, Summer 2012, pp. 102-10.

"Technical Trading, Predictability and Learning in Currency Markets,"
by Valerio Poti, Richard M. Levich and Pierpaolo Pattitoni, January 2012.
Published in International Review of Financial Analysis, May 2014, Vol. 33, pp. 117-29.

"Is There Skill or Alpha in Currency Investing?"
by Momtchil Pojarliev and Richard M. Levich, April 2011.
Published in The Handbook of Exchange Rates, edited by Jessica James, Ian Marsh and Lucio Sarno, Wiley Publishing Inc., 2012.

"Evidence on Financial Globalization and Crises: Interest Rate Parity"
by Richard M. Levich, February 2011.
Published in The Evidence and Impact of Financial Globalization, Vol. 3, pp. 417-27, edited by Gerard Caprio, Elsevier Publishing Inc., 2013.

"Are All Currency Managers Equal?"
by Momtchil Pojarliev and Richard M. Levich, October 2010.
Published in Journal of Portfolio Management, Summer 2011, pp. 42-53.

"A New Approach for Measuring Crowded Trades in Financial Markets"
by Richard M. Levich and Momtchil Pojarliev, January 2010.
Posted at VoxEU.org, a policy portal sponsored by the Centre for Economic Policy Research, www.CEPR.org.

"Detecting Crowded Trades in Currency Funds,"
by Momtchil Pojarliev and Richard M. Levich, December 2009. (Revised version August 2010)
Published in Financial Analysts Journal, Jan./Feb. 2011, pp. 26-39.

"Why foreign exchange transactions did not freeze up during the global financial crisis: The role of the CLS Bank"
by Richard M. Levich, July 2009.
Posted at VoxEU.org, a policy portal sponsored by the Centre for Economic Policy Research, www.CEPR.org.

"Predictability and 'Good Deals' in Currency Markets,"
by Richard M. Levich and Valerio Poti, December 2008. (Revised version, August 2009)
Published in International Journal of Forecasting, Apr-June 2015, Vol 31, no. 2, pp. 452-72.

"Alpha and Style Persistence for Currency Traders"
by Momtchil Pojarliev and Richard M. Levich, October 2008.
Posted at VoxEU.org, a policy portal sponsored by the Centre for Economic Policy Research, www.CEPR.org.

"Trades of the Living Dead: Style Differences, Style Persistence and Performance of Currency Fund Managers,"
by Momtchil Pojarliev and Richard M. Levich, August 2008. (Revised version, April 2010)
Published in Journal of International Money and Finance, December 2010, pp. 1752-75.

"Separating Alpha and Beta Returns: Are Currency Managers Measuring Up?"
by Momtchil Pojarliev and Richard M. Levich, February 2008.
Posted at VoxEU.org, a policy portal sponsored by the Centre for Economic Policy Research, www.CEPR.org.

"Do Professional Currency Managers Beat the Benchmark?"
by Momtchil Pojarliev and Richard M. Levich, December 2007.
Published in Financial Analysts Journal, Sept./Oct. 2008, pp. 18-32.

"Do Foreign Exchange Markets Still Trend?"
by Kuntara Pukthuanthong-Le, Richard M. Levich, and Lee R. Thomas III, November 2006.
Published in Journal of Portfolio Management, Fall 2007, pp. 114-18.

"The Importance of Emerging Capital Markets,"
by Richard M. Levich, March 2001.
Published in R. Litan and R. Herring (eds.), Brookings-Wharton Papers on Financial Services, Washington, D.C.: The Brookings Institution, 2001, pp. 1-45.

"1998 Survey of Derivatives and Risk Management Practices by U.S. Institutional Investors,"
by Richard M. Levich, Gregory S. Hayt, and Beth A. Ripston, October 1999.

"Alternative Tests for Time Series Dependence Based on Autocorrelation Coefficients,"
by Richard M. Levich and Rosario C. Rizzo, December 1998.

"Underpricing of New Equity Offerings by Privatized Firms: An International Test,"
by  Qi Huang and Richard M. Levich, November 1998.
Published in International Journal of Theoretical and Applied Finance, Vol. 6, No. 1, 2003, pp. 1-30.