Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Carry Trade and Momentum in Currency Markets

16 references·16 citing·27 second hopsampled

FromToDepth

this work references cited by second hop· second hop is a sample of the most-cited connections

References

1993Common risk factors in the returns on stocks and bonds26,615 cited
1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
1997On Persistence in Mutual Fund Performance17,267 cited
1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets7,600 cited
1975THE 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.]6,743 cited
1983Empirical exchange rate models of the seventies4,115 cited
2000Conditional Skewness in Asset Pricing Tests2,837 cited
1984Forward and spot exchange rates

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

2,167 cited

1998International Momentum Strategies1,813 cited

1986Do Demand Curves for Stocks Slope Down?1,524 cited

2011Time Series Momentum1,470 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

Cited by

2014The International Monetary and Financial System: Its Achilles Heel and What to do about it177 cited
2013Conditional Risk Premia in Currency Markets and Other Asset Classes167 cited
2015Beyond the Carry Trade: Optimal Currency Portfolios145 cited
2024Essays in International Finance122 cited
2012Ambiguity Aversion: Implications for the Uncovered Interest Rate Parity Puzzle119 cited
2018Forward and Spot Exchange Rates in a Multi-Currency World*118 cited
2013International Diversification Benefits with Foreign Exchange Investment Styles102 cited
2011Momentum Strategies in Futures Markets and Trend-following Funds102 cited
2015Carry funding and safe haven currencies: A threshold regression approach96 cited
2016Time series momentum and volatility scaling87 cited
2022Are Intermediary Constraints Priced?81 cited
2018Global Political Risk and Currency Momentum73 cited
2022Pricing Currency Risks71 cited
2013Lessons from the evolution of foreign exchange trading strategies71 cited
2021The missing risk premium in exchange rates70 cited
2011Carry Trades and Risk70 cited