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来源类型Working Paper
规范类型报告
DOI10.3386/w15698
来源IDWorking 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
URLhttps://www.nber.org/papers/w15698
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/573371
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GB/T 7714
Momtchil Pojarliev,Richard M. Levich. Detecting Crowded Trades in Currency Funds. 2010.
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