| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w19325 |
| 来源ID | Working Paper 19325 |
| Carry | |
| Ralph S.J. Koijen; Tobias J. Moskowitz; Lasse Heje Pedersen; Evert B. Vrugt | |
| 发表日期 | 2013-08-16 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | A security's expected return can be decomposed into its "carry" and its expected price appreciation, where carry can be measured in advance without an asset pricing model. We find that carry predicts returns both in the cross section and time series for a variety of different asset classes that include global equities, global bonds, currencies, commodities, US Treasuries, credit, and equity index options. This predictability underlies the strong returns to "carry trades" that go long high-carry and short low-carry securities, applied almost exclusively to currencies, but shown here to be a robust feature of many assets. We decompose carry returns into static and dynamic components and analyze the economic exposures. Despite unconditionally low correlations across asset classes, we find times when carry strategies across all asset classes do poorly, and show that these episodes coincide with global recessions. |
| 主题 | International Economics ; International Finance ; Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w19325 |
| 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/577000 |
| 推荐引用方式 GB/T 7714 | Ralph S.J. Koijen,Tobias J. Moskowitz,Lasse Heje Pedersen,et al. Carry. 2013. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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