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The performance of currency hedge funds and the yen/USD carry trade

Peltomäki, Jarkko - In: International journal of finance & economics : IJFE 16 (2011) 2, pp. 103-113

Persistent link: https://www.econbiz.de/10009159831

The role of a large trader in a dynamic currency attack model

Li, Mei; Milne, Frank - In: Journal of financial intermediation 23 (2014) 4, pp. 590-620

Persistent link: https://www.econbiz.de/10010489784

Hedge fund treasury trading and funding fragility : evidencefrom the COVID-19 crisis

Kruttli, Mathias S.; Monin, Phillip J.; Petrasek, Lubomir; … - 2021

Persistent link: https://www.econbiz.de/10012609327

Special issue on asset price dynamics and risk management

Cheung, Yin-Wong (contributor) - 2000

Persistent link: https://www.econbiz.de/10001688733

Liquidity in the foreign exchange market: an investment manager's perspective

Richmond, Harriett M.; Crawford, Jack - In: Liquidity black holes : understanding, quantifying and …, (pp. 3-20). 2003

Persistent link: https://www.econbiz.de/10002433622

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 … successfully price the cross-section of currency returns. However, we also find that liquidity and carry trade premia are …

Persistent link: https://www.econbiz.de/10013252868

Detecting crowded trades in currency funds

Pojarliev, Momtchil; Levich, Richard M. - 2010

"The financial crisis of 2008 highlights the importance of detecting crowded trades due to the risks they pose to the stability of the financial system and to the global economy. However, there is a perception that crowded trades are difficult to identify. To date, no single measure to capture...

Persistent link: https://www.econbiz.de/10003932494

The joint dynamics of hedge fund returns, illiquidity, and volatility

Wrampelmeyer, Jan - In: The journal of alternative investments 15 (2012/13) 1, pp. 43-67

Persistent link: https://www.econbiz.de/10009573449

Detecting crowded trades in currency funds

Pojarliev, Momtchil; Levich, Richard M. - In: Financial analysts' journal : FAJ 67 (2011) 1, pp. 26-39

Persistent link: https://www.econbiz.de/10008858053

Footprints in the market : hedge funds and the carry trade

Fong, Wai-mun - In: Journal of international money and finance 33 (2013), pp. 41-59

Persistent link: https://www.econbiz.de/10009730776