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What Can the Data Tell Us about Carry Trades in Japanese Yen?
6 references·6 citing·53 second hop
What Can the Data Tell Us about Carry Trades in Japanese Yen? (2007)What Can the Data Tell Us about Carry Tra…The Returns to Currency Speculation (2006)The Returns to Currency Specu…Carry Trades and Speculative Dynamics (2006)Carry Trades and Speculative …The forward discount anomaly and the risk premium: A survey of recent evidence (1996)The forward discount anomaly …Chapter 37 Puzzles in international financial markets (1995)Chapter 37 Puzzles in interna…Puzzles in International Financial Markets (1994)Puzzles in International Fina…Empirical exchange rate models of the seventies (1983)Empirical exchange rate model…Capital account regulations and the trading system:a compatibility review (2013)Capital account regulations a…The “forward premium puzzle” and the sovereign default risk (2012)The “forward premium puzzle” …Impact of macro-economic surprises on carry trade activity (2012)Impact of macro-economic surp…Yen Carry Trade and the Subprime Crisis (2009)Yen Carry Trade and the Subpr…A stochastic dominance analysis of yen carry trades (2009)A stochastic dominance analys…Safe Haven Currencies (2007)Safe Haven CurrenciesExpectations and Exchange Rate Dynamics (1976)Macroeconomics and Reality (1980)The Purchasing Power Parity Puzzle (1996)Monetary Theory and Policy (1999)Forecasting Economic Time Series (2000)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)Essays in Positive Economics (1954)Continuous Auctions and Insider Trading (1985)Credit Cycles (1997)Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums (2009)Limits of Arbitrage: The State of the Theory (2010)The Time-Varying Systematic Risk of Carry Trade Strategies (2010)Agency Costs, Net Worth, And Business Fluctuations (1988)Deciphering the Liquidity and Credit Crunch 2007-08 (2008)Liquidity and leverage (2008)Currency Momentum, Carry Trade, and Market Illiquidity (2016)THE YIELD OF THE CARRY TRADE STRATEGY (2018)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Market Liquidity and Funding Liquidity (2008)Can implied volatility predict returns on the currency carry trade? (2015)Could the global financial crisis improve the performance of the G7 stocks markets? (2015)Price, trade size, and information in securities markets (1987)Common risk factors in the returns on stocks and bonds (1993)Global Currency Hedging (2007)Pricing and Liquidity in Decentralized Asset Markets (2016)Forward and Spot Exchange Rates in a Multi-Currency World* (2018)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Economic Action and Social Structure: The Problem of Embeddedness (1985)Efficient Capital Markets: II (1991)Technical trading rule profitability and foreign exchange intervention (1999)The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk: Comment (2011)Rare Disasters and Exchange Rates * (2015)The Social Cost of Foreign Exchange Reserves (2006)Capital Inflows (2010)Managing Capital Inflows (2011)Ruling Capital (2014)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)The equity premium: A puzzle (1985)An analysis of forward exchange rate biasedness across developed and developing country currencies: Do observed patterns persist out of sample? (2013)Monetary policy and the first- and second-moment exchange rate change during the global financial crisis: Evidence from Thailand (2013)Uncovered interest parity: The long and the short of it (2015)Generalized autoregressive conditional heteroskedasticity (1986)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Statistical analysis of cointegration vectors (1988)Investor Psychology and Asset Pricing (2001)Exchange Rates and Fundamentals (2005)Carry Trades and Currency Crashes (2008)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Heterogeneous expectations and tests of efficiency in the yen/dollar forward exchange rate market (1999)Yield Curve Predictors of Foreign Exchange Returns (2010)Global Asset Pricing (2011)
this work references cited by second hop

References

  • 1983Empirical exchange rate models of the seventies4,115 cited
  • 1996The forward discount anomaly and the risk premium: A survey of recent evidence1,119 cited
  • 1994Puzzles in International Financial Markets523 cited
  • 1995Chapter 37 Puzzles in international financial markets213 cited
  • 2006The Returns to Currency Speculation170 cited
  • 2006Carry Trades and Speculative Dynamics90 cited

Cited by

  • 2012The “forward premium puzzle” and the sovereign default risk61 cited
  • 2009A stochastic dominance analysis of yen carry trades51 cited
  • 2009Yen Carry Trade and the Subprime Crisis48 cited
  • 2013Capital account regulations and the trading system:a compatibility review40 cited
  • 2012Impact of macro-economic surprises on carry trade activity36 cited
  • 2007Safe Haven Currencies36 cited

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