Arbeitspapier
Carry trade
It does not take much sophistication for a speculator to generate risk-adjusted positive returns with the carry trade. A number of obvious improvements (such as optimally designed portfolios, strategies that permit the speculator to remain in a cash position when expected returns are small or uncertain, and others not considered here) would only improve the speculator's returns further. That this is so poses a challenge to conventional notions of market efficiency and long-standing puzzles in international finance. The carry trade is a risky investment but its positive returns are hard to justify on the basis of the investor's tolerance for exposure or how returns correlate with a wide range of alternative risk factors.
- Language
-
Englisch
- Bibliographic citation
-
Series: Working Paper ; No. 10-18
- Classification
-
Wirtschaft
- Event
-
Geistige Schöpfung
- (who)
-
Jordà, Òscar
- Event
-
Veröffentlichung
- (who)
-
University of California, Department of Economics
- (where)
-
Davis, CA
- (when)
-
2010
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Jordà, Òscar
- University of California, Department of Economics
Time of origin
- 2010
Other Objects (12)
Leveraged Carry Trade Portfolios
Debt overhang and the macroeconmics of carry trade
Impact of macroeconomic surprises on carry trade activity
Carry trade, uncovered interest parity and monetary policy
Dodging the steamroller: Fundamentals versus the carry trade
Multi-product exporters, carry-along trade and the margins of trade
Exchange Rates, Interest Rates and the Global Carry Trade
Currency Matching and Carry Trade by Non-Financial Corporations
Getting beyond carry trade: what makes a safe haven currency?
Risk-Premia, Carry-Trade Dynamics, and Speculative Efficiency of Currency Markets
Foreign exchange predictability during the financial crisis: Implications for carry trade profitability
The carry trade, portfolio diversification, and the adjustment of the Japanese yen
Leveraged Carry Trade Portfolios
Debt overhang and the macroeconmics of carry trade
Impact of macroeconomic surprises on carry trade activity
Carry trade, uncovered interest parity and monetary policy
Dodging the steamroller: Fundamentals versus the carry trade
Multi-product exporters, carry-along trade and the margins of trade
Exchange Rates, Interest Rates and the Global Carry Trade
Currency Matching and Carry Trade by Non-Financial Corporations
Getting beyond carry trade: what makes a safe haven currency?
Risk-Premia, Carry-Trade Dynamics, and Speculative Efficiency of Currency Markets
Foreign exchange predictability during the financial crisis: Implications for carry trade profitability
The carry trade, portfolio diversification, and the adjustment of the Japanese yen
Leveraged Carry Trade Portfolios
Debt overhang and the macroeconmics of carry trade
Impact of macroeconomic surprises on carry trade activity
Carry trade, uncovered interest parity and monetary policy
Dodging the steamroller: Fundamentals versus the carry trade
Multi-product exporters, carry-along trade and the margins of trade
Exchange Rates, Interest Rates and the Global Carry Trade
Currency Matching and Carry Trade by Non-Financial Corporations
Getting beyond carry trade: what makes a safe haven currency?
Risk-Premia, Carry-Trade Dynamics, and Speculative Efficiency of Currency Markets
Foreign exchange predictability during the financial crisis: Implications for carry trade profitability