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Carry Trades and Risk
16 references·9 citing·37 second hop
Carry Trades and Risk (2011)Carry Trades and RiskCarry Trades and Global Foreign Exchange Volatility (2012)Carry Trades and Global Forei…The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk: Comment (2011)The Cross Section of Foreign …Common Risk Factors in Currency Markets (2011)Common Risk Factors in Curren…Do Peso Problems Explain the Returns to the Carry Trade? (2010)Do Peso Problems Explain the …Carry Trades and Currency Crashes (2008)Carry Trades and Currency Cra…Carry Trades and Currency Crashes (2008)Carry Trades and Currency Cra…The Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…A Consumption‐Based Explanation of Expected Stock Returns (2006)A Consumption‐Based Explanati…The forward discount anomaly and the risk premium: A survey of recent evidence (1996)The forward discount anomaly …Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets (1992)Characterizing Predictable Co…Changing Beliefs and Systematic Rational Forecast Errors with Evidence from Foreign Exchange (1989)Changing Beliefs and Systemat…Forward and spot exchange rates (1984)Forward and spot exchange rat…Empirical exchange rate models of the seventies (1983)Empirical exchange rate model…The ‘peso problem’ in testing the efficiency of forward exchange markets (1980)The ‘peso problem’ in testing…Uncertainty, currency excess returns, and risk reversals (2017)Uncertainty, currency excess …Term Structure of Consumption Risk Premia in the Cross Section of Currency Returns (2017)Term Structure of Consumption…Monetary Policy Surprises and the Responses of Asset Prices: An Event Study Analysis (2017)Monetary Policy Surprises and…Co-movement of exchange rates with interest rate differential, risk premium and FED policy in “fragile economies” (2017)Co-movement of exchange rates…If you're so smart: John Maynard Keynes and currency speculation in the interwar years (2015)If you're so smart: John Mayn…Can implied volatility predict returns on the currency carry trade? (2015)Can implied volatility predic…Foreign exchange risk and the predictability of carry trade returns (2014)Foreign exchange risk and the…General equilibrium pricing of currency and currency options (2013)General equilibrium pricing o…Currency Returns, Skewness and Crash Risk (2012)Currency Returns, Skewness an…Expectations 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)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)The Pricing of Options and Corporate Liabilities (1973)Currency momentum strategies (2012)Conditional risk premia in currency markets and other asset classes (2014)Intermediary asset pricing: New evidence from many asset classes (2017)Editor's Choice Digesting Anomalies: An Investment ApproachOn Persistence in Mutual Fund Performance (1997)Liquidity and leverage (2008)… and the Cross-Section of Expected Returns (2015)The Determinants of Credit Spread Changes (2001)Market Liquidity and Funding Liquidity (2008)International Liquidity and Exchange Rate Dynamics * (2015)Does the Stock Market Overreact? (1985)Multifactor Explanations of Asset Pricing Anomalies (1996)Investor Psychology and Security Market Under‐ and Overreactions (1998)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)A Theory of the Term Structure of Interest Rates (1985)Climate risks and market efficiency (2018)Risks and Returns of Cryptocurrency (2020)Long memory processes and fractional integration in econometrics (1996)Predictive regressions (1999)Presidential Address: Discount Rates (2011)Evaporating Liquidity (2012)
this work references cited by second hop

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
  • 1983Empirical exchange rate models of the seventies4,115 cited
  • 1984Forward and spot exchange rates2,167 cited
  • 1996The forward discount anomaly and the risk premium: A survey of recent evidence1,119 cited
  • 2011Common Risk Factors in Currency Markets1,079 cited
  • 2012Carry Trades and Global Foreign Exchange Volatility925 cited
  • 2008Carry Trades and Currency Crashes792 cited
  • 2008Carry Trades and Currency Crashes654 cited
  • 2006A Consumption‐Based Explanation of Expected Stock Returns653 cited
  • 2010Do Peso Problems Explain the Returns to the Carry Trade?522 cited
  • 1992Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets499 cited
  • 2011The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk: Comment472 cited
  • 1980The ‘peso problem’ in testing the efficiency of forward exchange markets312 cited

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  • 1989Changing Beliefs and Systematic Rational Forecast Errors with Evidence from Foreign Exchange256 cited
  • Cited by

    • 2012Currency Returns, Skewness and Crash Risk68 cited
    • 2017Uncertainty, currency excess returns, and risk reversals67 cited
    • 2014Foreign exchange risk and the predictability of carry trade returns67 cited
    • 2017Term Structure of Consumption Risk Premia in the Cross Section of Currency Returns50 cited
    • 2017Co-movement of exchange rates with interest rate differential, risk premium and FED policy in “fragile economies”33 cited
    • 2015If you're so smart: John Maynard Keynes and currency speculation in the interwar years33 cited
    • 2015Can implied volatility predict returns on the currency carry trade?30 cited
    • 2013General equilibrium pricing of currency and currency options26 cited
    • 2017Monetary Policy Surprises and the Responses of Asset Prices: An Event Study Analysis14 cited