| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9771 |
| DP9771 Carry | |
| Lasse Heje Pedersen; Ralph Koijen | |
| 发表日期 | 2013-12-01 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | Any security?s expected return can be decomposed into its ?carry? and its expected price appreciation, where carry is a model-free characteristic that can be observed in advance. While carry has been studied almost exclusively for currencies, we find that carry predicts returns both in the cross section and time series for a variety of different asset classes including global equities, global bonds, commodities, US Treasuries, credit, and options. This predictability rejects a generalized version of the uncovered interest rate parity and expectations hypothesis in favor of models with varying risk premia. Our global carry factor across markets delivers strong average returns and, while it is exposed to recession, liquidity, and volatility risks, its performance presents a challenge to asset pricing models. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | Carry trade Predictability stocks Bonds Currencies Commodities Corporate bonds Options Global recessions Liquidity risk Volatility risk |
| URL | https://cepr.org/publications/dp9771 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/538607 |
| 推荐引用方式 GB/T 7714 | Lasse Heje Pedersen,Ralph Koijen. DP9771 Carry. 2013. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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