Common information in carry trade risk factors
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چکیده
منابع مشابه
Common Risk Factors ?
Abdominal aortic aneurysm (AAA) rupture has been recognized as a significant cause of mortality for adults aged 60 years in the developed world for some time.1 AAAs are usually asymptomatic until rupture occurs, and screening programs have been shown to reduce mortality in men aged 65 years.2 Most AAAs detected by ultrasound are 50 mm in diameter, and there is currently no recognized treatment ...
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We find important differences in dollar-based and dollar-neutral G10 carry trades. Dollar-neutral trades have positive average returns, are highly negatively skewed, are correlated with risk factors, and exhibit considerable downside risk. In contrast, a diversified dollar-carry portfolio has a higher average excess return, a higher Sharpe ratio, minimal skewness, is unconditionally uncorrelate...
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Information frictions are often invoked to explain low levels of international trade beyond those that measured trade frictions (tariffs, transportation costs, etc.) can explain. But to explain why international trade is lower then domestic trade, home firms have to know something that foreigners do not. Without information asymmetry, domestic trade and foreign trade would be inhibited equally....
متن کاملOnline Appendix for “The Term Structure of Currency Carry Trade Risk Premia” —Not For Publication—
• Section A gathers robustness checks on empirical results: subsection A.1 reports additional time-series predictability results; subsection A.2 reports additional results on portfolios of countries sorted by the deviation of their short-term interest rate from its 10-year rolling mean; subsection A.3 reports results on portfolios of countries sorted by the short-term interest rate level; subse...
متن کاملCarry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets*
This study empirically examines the effect of foreign exchange (FX) market liquidity risk and volatility on the excess returns of currency carry trades. In contrast to the existent literature, we construct an alternative proxy of liquidity risk violations of no arbitrage bounds in the forward and currency swap markets. We also use volatility smile data to capture FX-market specific volatility. ...
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ژورنال
عنوان ژورنال: Journal of International Financial Markets, Institutions and Money
سال: 2018
ISSN: 1042-4431
DOI: 10.1016/j.intfin.2017.11.003