Christiansen, Charlotte; Ranaldo, Angelo; Söderlind, Paul - Swiss National Centre of Competence in Research North … - 2009
This paper suggests a factor model for carry trade strategies wherethe regression coeffcients are allowed to depend on market volatility and liquid-ity. Empirical results on daily data from 1995 to 2008 show that a typical carrytrade strategy has much higher exposure to the stock market and also...