The returns to carry trades are controversially discussed as there seems to be no unifying risk-based explanation of … currency returns and stock returns. This paper addresses carry trade returns from a risk pricing perspective and examines if … these returns can be connected to persistent cross-country differences of risk aversion. Therefore, I analyze a data set of …

Using a measure of global political risk, relative to the U.S., that captures unexpected political conditions, we show … that political risk is priced in the cross section of currency momentum and contains information beyond other risk factors … such strategies are compensated for the exposure to the global political risk of those currencies they hold, i.e., the past …

This paper presents the first comprehensive examination of liquidity in the global foreign exchange (FX) swap market … main findings: First, FX swap liquidity is fragmented across currencies, tenors, and time. Second, liquidity conditions …