boom yields consistently positive excess returns. This excess return compensates for the risk of high negative returns in … countries on risk aversion, and low (high) risk aversion currencies depreciate (appreciate) in times of global turmoil. …

should not. A risk premia story might justify the high returns to the carry trades. In this paper we study the relationship … risk factors. Asset pricing theory applies to the currency market: those currencies that have larger loading on risk …, especially crash risk, offer a larger mean return in compensation. Especially, we show that crash risk as measured by quantile …

Dollar carry trade risk premiums – unlike dollar-neutral or foreign exchange carry risk premiums – are positively … the entire premium, based on these proxies for the latent risk and price of risk states in the U.S. (and its business …

Dollar carry trade risk premiums - unlike dollar-neutral or foreign exchange carry risk premiums - are positively … (typically based on untestable claims) in which the variables above are proxies for the latent (quantity of) risk and price of … risk states - and the business cycle - in the U.S. explains the results in the present paper. However, I avoid making this …

world. We show that even in this market exposure to liquidity risk commands a non-trivial risk premium of up to 3.6% per … annum. In particular, systematic and currency-specific liquidity risk are not subsumed by existing risk factors and … significantly correlated. This lends support to a liquidity-based explanation of the carry trade risk premium. To illustrate this …

We use a standard consumption-based asset pricing model incorporating conditioning information to explain the risk …

We use a standard consumption-based asset pricing model incorporating conditioning information to explain the risk …

The returns to carry trades are controversially discussed as there seems to be no unifying risk-based explanation of … currency returns and stock returns. This paper addresses carry trade returns from a risk pricing perspective and examines if … these returns can be connected to persistent cross-country differences of risk aversion. Therefore, I analyze a data set of …