Results 291 to 300 of about 13,088,660 (328)
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Currency momentum, carry trade, and market illiquidity
Journal of Banking & Finance, 2016This study empirically examines the effect of equity market illiquidity on the excess returns of currency momentum and carry trade strategies. Results show that equity market illiquidity explains the evolution of currency momentum strategy payoffs, but ...
Vitaly Orlov
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2012
The publication is intended in the first place those politicians parliaments of all countries who have the phenomenon of carry trade yet knows nothing, and who because of their neglect and the resulting built them incorrectly, focused, laws approved, and then and the realized state-budget policy to their countries cause significant and irreversible ...
Kráľ, Miloš, Kovářík, Martin
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The publication is intended in the first place those politicians parliaments of all countries who have the phenomenon of carry trade yet knows nothing, and who because of their neglect and the resulting built them incorrectly, focused, laws approved, and then and the realized state-budget policy to their countries cause significant and irreversible ...
Kráľ, Miloš, Kovářík, Martin
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SSRN Electronic Journal, 2018
This paper discusses the following in context of carry trading and analysis: risk quantification, trade and portfolio risk reward analysis, distributional and statistical characteristics, and portfolio construction. The paper gives ideas on how to trade carry systematically.
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This paper discusses the following in context of carry trading and analysis: risk quantification, trade and portfolio risk reward analysis, distributional and statistical characteristics, and portfolio construction. The paper gives ideas on how to trade carry systematically.
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The impact of jumps on carry trade returns
Journal of Financial Economics, 2017Abstract This paper investigates how jump risks are priced in currency markets. We find that currencies whose changes are more sensitive to negative market jumps provide significantly higher expected returns. The positive risk premium constitutes compensation for the extreme losses during periods of market turmoil.
Suzanne S. Lee, Minho Wang
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2013
A carry trade is an interest differential business, which consists of borrowing money in a low-yielding currency for the sole reason of investing the proceeds in a higher-yielding one. It was, for instance, possible a few years ago to take on debt in Japanese yen at 1 per cent and receive 9 per cent by investing in New Zealand dollars.
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A carry trade is an interest differential business, which consists of borrowing money in a low-yielding currency for the sole reason of investing the proceeds in a higher-yielding one. It was, for instance, possible a few years ago to take on debt in Japanese yen at 1 per cent and receive 9 per cent by investing in New Zealand dollars.
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Volatility and the Carry Trade
The Journal of Fixed Income, 2007The currency “carry trade”, in which an investor buys assets in a higher yielding currency by borrowing in a lower yielding currency, has been consistently exploited as a source of profits by investors. In this article, we discuss the effectiveness of the carry trade as prospective risk (measured by implied volatilities) in exchange rates varies. Based
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The Tail Risk Premia of the Carry Trades
SSRN Electronic Journal, 2013Abstract We study the relationship between the excess returns of portfolios invested in carry trade positions and an innovative global tail risk factor. We find that high interest rate currencies are related to innovations in global currency tail risk.
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The Profitability of Carry Trade - La redditività del carry trade
Economia Internazionale / International Economics, 2010The profitability of carry trade is investigated using six currency combinations and historical data covering the period December 1999-June 2006. Hypothesis testing and Monte Carlo simulations produce results that cast doubt on the profitability of carry trade, as there is mostly a fifty-fifty chance that profit can be made from a single carry trade ...
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Are Carry Trade Risks Systematic Risks Now? An Analysis of the Dynamics of Carry Trade Risks
SSRN Electronic Journal, 2010In 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 dynamic and have become more systematic in recent years ...
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