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The Crash Risk Premia of Efficient Carry Trades

Dupuy, Philippe - 2012

Carry trade strategies in which investors sell forward currencies that are at a forward premium and buy forward currencies that are at a forward discount are, on average, profitable. According to the uncovered interest rate parity they should not. A risk premia story might justify the high...

Persistent link: https://www.econbiz.de/10013105027

Global Variance Risk Premium and Forex Return Predictability

Aloosh, Arash - 2017

I use forward-looking information available in stock market volatility indices to predict forex returns. In particular, I find that equity variance risk premiums (VRPs) — the difference between the risk-neutral and statistical expectations of market return variation — predict forex returns...

Persistent link: https://www.econbiz.de/10012975039

Stock returns and carry trades

Chen, Zilin; Gang, Jianhua; Qian, Zongxin - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-13

Persistent link: https://www.econbiz.de/10013188433

The January effect in the foreign exchange market : evidence for seasonal equity carry trades

Girardin, Eric; Namin, Fatemeh Salimi - In: Economic modelling 81 (2019), pp. 422-439

Persistent link: https://www.econbiz.de/10012202131

Relative pricing and risk premia in equity volatility markets

Van Tassel, Peter - 2018

significance from the no-arbitrage prices and bounds implied by the variance swap market. The paper examines these pricing errors …

Persistent link: https://www.econbiz.de/10011904683

Trade competitiveness and the aggregate returns in global stock markets

Chiah, Mardy; Long, Huaigang; Zaremba, Adam; Umar, Zaghum - In: Journal of economic dynamics & control 148 (2023), pp. 1-18

Persistent link: https://www.econbiz.de/10014240044

Spekulation, Preisbildung und Volatilität auf Finanz- und Devisenmärkten

Alexander, Volbert; Kugler, Peter; Streissler, Erich; … - Verein für Socialpolitik / Ausschuss für Geldtheorie … - 1998

werden die Auswirkungen einer Geldpolitik analysiert, die auf Veränderungen der Zinsstruktur reagiert und "leaning against … von J. Wolters analysiert die Renditestruktur am deutschen Kapitalmarkt. Gemäß der Erwartungshypothese der Zinsstruktur … Spreads festgestellt werden. Dies bedeutet, daß die Zinsstruktur nicht nur von einem, sondern von zwei gemeinsamen Faktoren …