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An Interpretation of Carry Trade Profitability
Xanthopoulos, Apostolos - 2013
The forward premium anomaly has served as the theoretical foundation of positive returns from currency speculation. Nonlinearity in the relation of currency returns and interest rate differentials should be included in speculator expectations. Within narrow ranges, the counteracting effects of...
Persistent link: https://www.econbiz.de/10013078817
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Measuring liquidity risk effects on carry trades across currencies and regimes
Abankwa, Samuel; Blenman, Lloyd P. - In: Journal of multinational financial management 60 (2021), pp. 1-22
Persistent link: https://www.econbiz.de/10012794687
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Carry trade
Jordà, Òscar - 2010
Persistent link: https://www.econbiz.de/10009542512
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Good Carry, Bad Carry
Bekaert, Geert - 2019
understanding of currency carry trade returns, and invalidates, for example, explanations invoking return skewness and crash risk …
Persistent link: https://www.econbiz.de/10012479376
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Currency momentum, carry trade, and market illiquidity
Orlov, Vitaly - In: Journal of banking & finance 67 (2016), pp. 1-11
Persistent link: https://www.econbiz.de/10011634601
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Conditioning carry trades : less risk, more return
Mulder, Arjen; Tims, Ben - In: Journal of international money and finance 85 (2018), pp. 1-19
Persistent link: https://www.econbiz.de/10012000369
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The January effect in the foreign exchange market : evidence for seasonal equity carry trades
Girardin, Eric; Namin, Fatemeh Salimi - In: Economic modelling 81 (2019), pp. 422-439
Persistent link: https://www.econbiz.de/10012202131
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Predicting foreign investors' carry trade activity in the Israeli FX market using a time-varying currency risk premium approach
Mantzura, Ariel; Shraiber, Bentsi - In: International review of economics & finance : IREF 59 (2019), pp. 438-457
Persistent link: https://www.econbiz.de/10012203257
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The impact of jumps on carry trade returns
Lee, Suzanne S.; Wang, Minhong - In: Journal of financial economics 131 (2019) 2, pp. 433-455
Persistent link: https://www.econbiz.de/10012131572
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The asymmetry in carry trade and the U.S. dollar
Wu, Chih-Chiang; Wu, Chang-Che - In: The quarterly review of economics and finance : journal … 65 (2017), pp. 304-313
Persistent link: https://www.econbiz.de/10011792496