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The Carry Trade : Risks and Drawdowns
Daniel, Kent - 2017
We find important differences in dollar-based and dollar-neutral G10 carry trades. Dollar-neutral trades have positive average returns, are highly negatively skewed, are correlated with risk factors, and exhibit considerable downside risk. In contrast, a diversified dollar-carry portfolio has a...
Persistent link: https://www.econbiz.de/10012972833
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The carry trade : risks and drawdowns
Daniel, Kent; Hodrick, Robert J.; Lu, Zhongjin - 2014
Persistent link: https://www.econbiz.de/10010413206
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US international capital flows : perspectives from rational maximizing models
Hodrick, Robert J. - 1988
Persistent link: https://www.econbiz.de/10000758210
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Heterogeneous liquidity providers and night-minus-day return predictability
Lu, Zhongjin; Malliaris, Steven; Qin, Zhongling - In: Journal of financial economics 148 (2023) 3, pp. 175-200
Persistent link: https://www.econbiz.de/10014335742
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Risk management with variable capital utilization and time-varying collateral capacity
Chen, Guojun; Lu, Zhongjin; Vij, Siddharth - In: Management science : journal of the Institute for … 71 (2025) 2, pp. 1803-1823
Persistent link: https://www.econbiz.de/10015411204
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Risk, uncertainty, and exchange rates
Hodrick, Robert J. - In: Journal of monetary economics 23 (1989) 3, pp. 355-521
Persistent link: https://www.econbiz.de/10001271277
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Dividend yields and expected stock returns : alternative procedures for inference and measurement
Hodrick, Robert J. - In: The review of financial studies 5 (1992) 3, pp. 357-386
Persistent link: https://www.econbiz.de/10001129388
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Comment on: Time-varying liquidity in foreign exchange
Hodrick, Robert J. - In: Journal of monetary economics 49 (2002) 5, pp. 1053-1055
Persistent link: https://www.econbiz.de/10001700833
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Risk, uncertainty and exchange rates
Hodrick, Robert J. - 1987
Persistent link: https://www.econbiz.de/10000752937
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Dividend yields and expected stock returns : alternative procedures for inference and measurement
Hodrick, Robert J. - 1991
Persistent link: https://www.econbiz.de/10013452205