Narrow search
Showing 1 - 10 of 5,961
Cover Image
Carry Trades : Betting Against Safe Haven
Kohler, Daniel - 2007
We examine contagion and flight-to-quality phenomena implied by carry strategies. More specifically, we analyze correlation dynamics between returns on a global equity index and returns on an investment strategy with a long position in high-yield and a short position in low-yield markets....
Persistent link: https://www.econbiz.de/10014051064
Cover Image
Risk and Return in Retail Forex
Karbalaee, Ali - 2013
Retail Forex as an online CFD market is generally known as a high risk area for traders. This study is focused on existing risks and return possibilities in this market. Risks which may threat traders are surveyed through Liquidity, Credit, and Control, plus Market risks. Value at Risk and...
Persistent link: https://www.econbiz.de/10013083734
Cover Image
Market Order Flows, Limit Order Flows and Returns : Theory and Evidence
Kozhan, Roman - 2019
We study the relation between limit order flow, market order flow and returns. We develop a model where market-makers face inventory risk and adverse selection and show how prices depend on market and limit order flows. In the model, market-makers receive information through trade with customers...
Persistent link: https://www.econbiz.de/10012904989
Cover Image
Market Order Flows, Limit Order Flows and Returns : Theory and Evidence
Kozhan, Roman - 2018
We study the relation between limit order flow, market order flow and returns. We develop a model where market-makers face inventory risk and adverse selection and show how prices depend on market and limit order flows. In the model, market-makers receive information through trade with customers...
Persistent link: https://www.econbiz.de/10012936725
Cover Image
Systematic consumption risk in currency returns
Hoffmann, Mathias; Suter, Rahel - 2013
We sort currencies by countries' consumption growth over the past four quarters. Currency portfolios of countries … characteristics (consumption, interest rates) and also does well on the cross section of bilateral currency movements. Eventually, a …
Persistent link: https://www.econbiz.de/10009752999
Cover Image
Economic Momentum and Currency Returns
Dahlquist, Magnus - 2019
Past trends in fundamentals linked to economic activity and inflation predict currency returns. We find that a trading …
Persistent link: https://www.econbiz.de/10012904397
Cover Image
Currency Carry Trades, Position-Unwinding Risk, and Sovereign Credit Premia
Huang, Huichou - 2016
In this paper we derive the measure of position-unwinding risk of currency carry trade portfolios from the currency … currency volatility, and highly correlated with global currency skewness risk. We show that high interest-rate currencies are … (overshooting) upon default components to analyze currency risk premia. We investigate the sovereign CDS spreads as the proxy for …
Persistent link: https://www.econbiz.de/10013007414
Cover Image
Countercyclical Currency Risk Premia
Lustig, Hanno N. - 2020
We describe a novel currency investment strategy, the `dollar carry trade,' which delivers large excess returns …
Persistent link: https://www.econbiz.de/10012857596
Cover Image
Carry and Trend Following Returns in the Foreign Exchange Market
Clare, Andrew - 2015
Recent research has confirmed the behaviour of traders that significant excess returns can be achieved from following the predictions of the carry trade which involves buying currencies with relatively high short-term interest rates, or equivalently a high forward premium, and selling those with...
Persistent link: https://www.econbiz.de/10013019046
Cover Image
Dollar Carry Timing
de Oliveira Souza, Thiago - 2021
Dollar carry trade risk premiums – unlike dollar-neutral or foreign exchange carry risk premiums – are positively correlated with firm-level dispersions in investment, profitability, and book-to-market in addition to the Treasury-bill rate, long term bond yield, term spread, and default...
Persistent link: https://www.econbiz.de/10013242629