منابع مشابه
Crash-Neutral Currency Carry Trades
Currency carry trades exploiting violations of uncovered interest rate parity in G10 currencies deliver significant excess returns with annualized Sharpe equal to or greater than those of equity market factors (19902012). Using data on out-of-the-money foreign exchange options, I compute returns to crash-hedged portfolios and demonstrate that the high returns to carry trades are not due to peso...
متن کاملOnline Appendix for “The Term Structure of Currency Carry Trade Risk Premia” —Not For Publication—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متن کاملOnline Appendix for “The Term Structure of Currency Carry Trade Risk Premia” —Not For Publication—
This Online Appendix describes additional empirical and theoretical results on foreign bond returns in U.S. dollars. Section A reports additional results on portfolios of countries sorted by the short-term interest rates. Section B reports similar results for portfolios of countries sorted by the slope of the yield curves. Section C reports additional results obtained with zero-coupon bonds. Se...
متن کاملRisk-Premia, Carry-Trade Dynamics, and Speculative Efficiency of Currency Markets
Foreign exchange market efficiency is commonly investigated by Fama-regression tests of uncovered interest parity (UIP). In this paper, we conjecture a speculative UIP relationship which implies that exchange rate changes comprise a time-varying risk component in addition to the forward premium. This suggests that the forward premium anomaly reported in previous research potentially stems from ...
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. ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of International Money and Finance
سال: 2009
ISSN: 0261-5606
DOI: 10.1016/j.jimonfin.2009.08.010