| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w20433 |
| 来源ID | Working Paper 20433 |
| The Carry Trade: Risks and Drawdowns | |
| Kent Daniel; Robert J. Hodrick; Zhongjin Lu | |
| 发表日期 | 2014-08-28 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | We examine carry trade returns formed from the G10 currencies. Performance attributes depend on the base currency. Dynamically spread-weighting and risk-rebalancing positions improves performance. Equity, bond, FX, volatility, and downside equity risks cannot explain profitability. Dollar-neutral carry trades exhibit insignificant abnormal returns, while the dollar exposure part of the carry trade earns significant abnormal returns with little skewness. Downside equity market betas of our carry trades are not significantly different from unconditional betas. Hedging with options reduces but does not eliminate abnormal returns. Distributions of drawdowns and maximum losses from daily data indicate the importance of time-varying autocorrelation in determining the negative skewness of longer horizon returns. |
| 主题 | International Economics ; International Finance ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w20433 |
| 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/578106 |
| 推荐引用方式 GB/T 7714 | Kent Daniel,Robert J. Hodrick,Zhongjin Lu. The Carry Trade: Risks and Drawdowns. 2014. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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