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FX liquidity risk and carry trade premia
Söderlind, Paul; Somogyi, Fabricius - 2022
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 …
Persistent link: https://www.econbiz.de/10013252868
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Exchange rate predictability, common factors, and applications in carry trade
Ogruk-Maz, Gokcen; Wu, Shengxiong; Yildirim, Sinan - In: International journal of monetary economics and finance … 13 (2020) 6, pp. 513-530
Persistent link: https://www.econbiz.de/10012515315
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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 strategy that goes long currencies with strong economic momentum and short currencies with weak economic momentum exhibits an annualized Sharpe ratio of 0.70 and yields a...
Persistent link: https://www.econbiz.de/10012904397
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Dynamic risk factors in carry trades
Baek, Seungho; Lee, Kwan Yong; Glambosky, Mina - In: The journal of fixed income 29 (2019) 1, pp. 55-75
Persistent link: https://www.econbiz.de/10012253484
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Benefits of wavelet-based carry trade diversification
Orlov, Vitaly; Äijö, Janne - In: Research in international business and finance 34 (2015), pp. 17-32
Persistent link: https://www.econbiz.de/10011325759
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Risk-adjusted return managed carry trade
Dupuy, Philippe - In: Journal of banking & finance 129 (2021), pp. 1-20
Persistent link: https://www.econbiz.de/10012822247
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Benefits of Wavelet-Based Carry Trade Diversification
Orlov, Vitaly - 2015
This study investigates carry trade diversification opportunities and linkages of major carry trade currencies on five different investment horizons. Using daily data on eight currencies and LIBOR rates, we examine the temporal structure of correlations and assess portfolio diversification...
Persistent link: https://www.econbiz.de/10013034047
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Diversification role of currency momentum for carry trade : evidence from financial crises
Yamani, Ehab - In: Journal of multinational financial management 49 (2019), pp. 1-19
Persistent link: https://www.econbiz.de/10012314313
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Optimal carry trade portfolio choice under regime shifts
Chen, Chih-Nan; Lin, Chien-Hsiu - In: Review of quantitative finance and accounting 59 (2022) 2, pp. 483-506
Persistent link: https://www.econbiz.de/10013459294
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Currency futures' risk premia and risk factors
Bernoth, Kerstin; Hagen, Jürgen von; Vries, Casper G. de - 2020
represent a fair compensation for currency risk, we find that non-durable consumption risk and market risk can explain excess …
Persistent link: https://www.econbiz.de/10012209529