and metal price risk factors are found to have explanatory power on the cross-section of currency returns, while commodity … common and oil factors do not. Although stock market risk is strongly linked to currencies in developed countries, the …

currency. In addition, carry trade portfolios are exposed to multiple risk factors. Those factors are more significant at the … emerging markets. Finally, high country risk predicted high carry trade return …

This paper comprehensively examines the risk-return relation of cryptocurrency carry trade using realistic borrowing … fiat-currency carry trade which is vulnerable to crash risk, the cryptocurrency carry trade is resistant to the … cryptocurrency market crashes in 2018 and 2021. We show that the crypto-carry trade returns cannot be explained by established risk …

This paper comprehensively examines the risk-return relation of cryptocurrency carry trade using realistic borrowing … fiat-currency carry trade which is vulnerable to crash risk, the cryptocurrency carry trade is resistant to the … cryptocurrency market crashes in 2018 and 2021. We show that the crypto-carry trade returns cannot be explained by established risk …

average returns, are highly negatively skewed, are correlated with risk factors, and exhibit considerable downside risk. In … uncorrelated with standard risk-factors, and exhibits no downside risk. Distributions of drawdowns and maximum losses from daily …

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. …

negative skewness risk. Additionally, factor risks that affect foreign money changes, foreign inflation changes, as well as … changes to a newly developed Carry Trade Activity Index and the VIX index, as a proxy for global risk aversion, make up the … carry trade risk anatomy. These findings are not exclusively important for carry traders, but also contribute to the …

In this paper, we analyse the relationship between the currency carry return and volatility and liquidity risk factors …. We find that both categories of risk factors are relevant to understanding and explaining carry return, with an … outperformance for volatility ones especially the global FX volatility risk factor. Consistent with the poor performance of currency …

and the downside stock market excess return. Our results also suggest that stock market risk is somewhat segmented from FX … market risk …