| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w15698 |
| 来源ID | Working Paper 15698 |
| Detecting Crowded Trades in Currency Funds | |
| Momtchil Pojarliev; Richard M. Levich | |
| 发表日期 | 2010-01-28 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | The financial crisis of 2008 highlights the importance of detecting crowded trades due to the risks they pose to the stability of the financial system and to the global economy. However, there is a perception that crowded trades are difficult to identify. To date, no single measure to capture the crowdedness of a trade or a trading style has developed. We propose a methodology to measure crowded trades and apply it to professional currency managers. Our results suggest that carry became a crowded trading strategy towards the end of Q1 2008, shortly before a massive liquidation of carry trades. The timing suggests a possible adverse relationship between our measure of style crowdedness and the future performance of the trading style. Crowdedness in the trend following and value strategies confirm this hypothesis. |
| 主题 | International Economics ; International Finance ; Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w15698 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/573371 |
| 推荐引用方式 GB/T 7714 | Momtchil Pojarliev,Richard M. Levich. Detecting Crowded Trades in Currency Funds. 2010. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w15698.pdf（411KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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