Digesting FOREXS: Information Transmission Across Asset Classes and Return Predictability

For valuable comments, the authors thank Söhnke Bartram, Lauren Cohen, Tom George, Anurag Gupta, Jerry Hoberg, Peter Kelly, Quoc Nguyen, John Shim, Sophie Shive, and Hui-Ju Tsai as well as seminar participants at the University of Notre Dame, Korea University, Case Western Reserve University, the 2020 Lone Star Finance conference, the 2020 Financial Management Association Annual Meetings, the 2021 Eastern Finance Association Annual Meetings, and 2021 Northern Finance Association conference.