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 …

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 …

should not. A risk premia story might justify the high returns to the carry trades. In this paper we study the relationship … risk factors. Asset pricing theory applies to the currency market: those currencies that have larger loading on risk …, especially crash risk, offer a larger mean return in compensation. Especially, we show that crash risk as measured by quantile …

Dollar carry trade risk premiums – unlike dollar-neutral or foreign exchange carry risk premiums – are positively … the entire premium, based on these proxies for the latent risk and price of risk states in the U.S. (and its business …

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 …

Dollar carry trade risk premiums - unlike dollar-neutral or foreign exchange carry risk premiums - are positively … (typically based on untestable claims) in which the variables above are proxies for the latent (quantity of) risk and price of … risk states - and the business cycle - in the U.S. explains the results in the present paper. However, I avoid making this …

than out-of-the-money calls, suggesting a large crash risk of those currencies. To evaluate crash risk precisely, we …, forward, and option data, we obtain a real-time index of the compensation for global disaster risk exposure. We find that … disaster risk accounts for more than a third of the carry trade risk premium in advanced countries over the period examined …