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Measures of global uncertainty and carry-trade excess returns

Berg, Kimberly A.; Mark, Nelson C. - In: Journal of international money and finance 88 (2018), pp. 212-227

Persistent link: https://www.econbiz.de/10012000890

Global risks in the currency market

Panayotov, George - In: Review of finance : journal of the European Finance … 24 (2020) 6, pp. 1237-1270

Persistent link: https://www.econbiz.de/10012403856

Safe Asset Carry Trade

Ballensiefen, Benedikt - 2020

We provide the first systematic asset pricing analysis of one of the main safe asset categories, the repurchase agreement (repo). A standard, no-arbitrage model with a market and a carry factor prices these near-money assets. While the market factor determines the short-term interest rate level,...

Persistent link: https://www.econbiz.de/10012848481

Safe asset carry trade

Ballensiefen, Benedikt; Ranaldo, Angelo - In: Review of asset pricing studies : RAPS 13 (2023) 2, pp. 223-265

Persistent link: https://www.econbiz.de/10014317763

Currency carry trades and global funding risk

Ferreira Filipe, Sara; Nissinen, Juuso; Suominen, Matti - In: Journal of banking & finance 149 (2023), pp. 1-26

Persistent link: https://www.econbiz.de/10014462534

Political risks, excess and carry trade returns in global markets

Kesse, Kwabena; Blenman, Lloyd P. - In: International review of financial analysis 91 (2024), pp. 1-13

Persistent link: https://www.econbiz.de/10014446928

Are Carry Trade Risks Systematic Risks Now? An Analysis of the Dynamics of Carry Trade Risks

Jain, Apurv - 2011

In this paper, I study individual currency pairs and examine the behavior of the cross section of their carry returns with the USD. Developed and emerging market carry trades yield high Sharpe ratios even after adjusting for transaction costs. I show that carry trade risks carry trade risks are...

Persistent link: https://www.econbiz.de/10013133935

Economic Momentum and Currency Returns

Dahlquist, Magnus - 2019

Past trends in fundamentals linked to economic activity and inflation predict currency returns. We find that a trading strategy that goes long currencies with strong economic momentum and short currencies with weak economic momentum exhibits an annualized Sharpe ratio of 0.70 and yields a...

Persistent link: https://www.econbiz.de/10012904397

Currency Carry Trades, Position-Unwinding Risk, and Sovereign Credit Premia

Huang, Huichou - 2016

In this paper we derive the measure of position-unwinding risk of currency carry trade portfolios from the currency … currency volatility, and highly correlated with global currency skewness risk. We show that high interest-rate currencies are … exposed to higher position-unwinding risk than low interest-rate currencies. We then provide a framework that decomposes carry …

Persistent link: https://www.econbiz.de/10013007414

Countercyclical Currency Risk Premia

Lustig, Hanno N. - 2020

excess returns compensate U.S. investors for taking on aggregate risk by shorting the dollar in bad times, when the price of … risk is high. The counter-cyclical variation in risk premia leads to strong return predictability: the average forward …

Persistent link: https://www.econbiz.de/10012857596