Good Carry, Bad Carry

Journal of Financial and Quantitative Analysis - Tập 55 Số 4 - Trang 1063-1094 - 2020
Geert Bekaert, George Panayotov

Tóm tắt

We distinguish between “good” and “bad” carry trades constructed from Group of Ten (G-10) currencies. The good trades exhibit higher Sharpe ratios and sometimes positive return skewness, in contrast to the bad trades, which have both substantially lower Sharpe ratios and highly negative return skewness. Surprisingly, good trades do not involve the most typical carry currencies like the Australian dollar and Japanese yen. The distinction between good and bad carry trades significantly alters our understanding of currency carry trade returns, and invalidates, for example, explanations invoking return skewness and crash risk.

Từ khóa


Tài liệu tham khảo

10.1111/jofi.12546

Memmel, 2003, Performance Hypothesis Testing with the Sharpe Ratio, Finance Letters, 1, 21

Maggiori, M. “The U.S. Dollar Safety Premium.” Working Paper, Harvard University (2013).

10.1016/j.jempfin.2008.03.002

10.2139/ssrn.2632697

10.1111/j.1540-6261.1996.tb05201.x

10.1111/jofi.12081

10.1561/104.00000051

Cochrane, 2005, Asset Pricing

10.1086/593088

10.1093/rfs/5.3.351

Bekaert, 2012, International Financial Management

10.1016/j.jfineco.2013.04.010

Adrian, T. ; Etula, E. ; and Shin, H. S. . “Risk Appetite and Exchange Rates.” Staff Reports, Federal Reserve Bank of New York (2015).

10.1016/j.jeconom.2006.05.023

10.2139/ssrn.1542342

10.1111/j.1540-6261.2012.01728.x

10.1017/S0022109011000263

10.1093/rfs/hhr068

10.1016/j.jinteco.2012.03.001

10.1016/j.jimonfin.2007.05.004

10.1016/j.jfineco.2013.12.005

10.1016/j.jimonfin.2009.08.010

10.1093/qje/qjy026

10.1093/rfs/hhq138

10.1016/j.jbankfin.2008.08.002

10.1017/S0022109015000460

10.1016/j.jfineco.2014.05.004

10.1016/j.jimonfin.2009.08.006

10.1287/mnsc.2018.3109

10.1016/j.jfineco.2014.07.001

10.1111/j.1540-6261.1981.tb04891.x

Thông tin
Thông tin xuất bản

Journal of Financial and Quantitative Analysis

Tập 55 Số 4

1063-1094

Thông tin tác giả