SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Downside Market Risk of Carry Trades
16 references·16 citing·38 second hopsampled
Downside Market Risk of Carry Trades (2014)Downside Market Risk of Carry TradesCarry Trades and Global Foreign Exchange Volatility (2012)Carry Trades and Global Forei…Common Risk Factors in Currency Markets (2011)Common Risk Factors in Curren…A skeptical appraisal of asset pricing tests☆ (2009)A skeptical appraisal of asse…Market Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …Downside Risk (2006)Downside RiskProspect Theory and Asset Prices (2001)Prospect Theory and Asset Pri…Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices (2001)Forecasting crashes: trading …Contagion as a Wealth Effect (2001)Contagion as a Wealth EffectConditional Skewness in Asset Pricing Tests (2000)Conditional Skewness in Asset…On the Estimation of Beta-Pricing Models (1992)On the Estimation of Beta-Pri…A Theory of Disappointment Aversion (1991)A Theory of Disappointment Av…Prospect theory: An analysis of decision under risk (1988)Prospect theory: An analysis …Forward and spot exchange rates (1984)Forward and spot exchange rat…Prospect Theory: An Analysis of Decision under Risk (1979)Prospect Theory: An Analysis …SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS* (1976)SKEWNESS PREFERENCE AND THE V…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…The existence and severity of the forward premium puzzle during tranquil and turbulent periods: Developed versus developing country currencies (2021)The existence and severity of…Equity tail risk and currency risk premiums (2021)Equity tail risk and currency…Is Downside Risk Priced In Cryptocurrency Market? (2020)Is Downside Risk Priced In Cr…Does Bitcoin behave as a currency?: A standard monetary model approach (2020)Does Bitcoin behave as a curr…Carry Trades and Commodity Risk Factors (2019)Carry Trades and Commodity Ri…The impact of jumps on carry trade returns (2018)The impact of jumps on carry …Uncertainty, currency excess returns, and risk reversals (2017)Uncertainty, currency excess …The Carry Trade: Risks and Drawdowns (2017)The Carry Trade: Risks and Dr…What Do Stock Markets Tell Us about Exchange Rates? (2015)What Do Stock Markets Tell Us…Pricing Risks Across Currency Denominations (2015)Pricing Risks Across Currency…Is There a Global Safe Haven? (2015)Is There a Global Safe Haven?Can implied volatility predict returns on the currency carry trade? (2015)Can implied volatility predic…What Do Stock Markets Tell Us About Exchange Rates? (2014)What Do Stock Markets Tell Us…The Carry Trade: Risks and Drawdowns (2014)The Carry Trade: Risks and Dr…Empirical evidence on the currency carry trade, 1900–2012 (2014)Empirical evidence on the cur…Currency Excess Returns and Global Downside Market Risk (2012)Currency Excess Returns and G…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The relationship between return and market value of common stocks (1981)… and the Cross-Section of Expected Returns (2015)The Behavior of Stock-Market Prices (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)Common risk factors in the returns on stocks and bonds (1993)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)Risk, Ambiguity, and the Savage Axioms (1961)Judgment under Uncertainty: Heuristics and Biases (1975)Exploration and Exploitation in Organizational Learning (1991)Explicating dynamic capabilities: the nature and microfoundations of (sustainable) enterprise performance (2007)Theory of games and economic behavior (2019)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)High idiosyncratic volatility and low returns: International and further U.S. evidence (2008)Expected Stock Returns and Variance Risk Premia (2009)The Framing of Decisions and the Psychology of Choice (1981)Fairness and Retaliation: The Economics of Reciprocity (2000)Investor Psychology and Asset Pricing (2001)Credit Rationing in Markets with Imperfect Information (1981)Bank Runs, Deposit Insurance, and Liquidity (1983)Continuous Auctions and Insider Trading (1985)Liquidity and leverage (2008)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)The Pricing of Options and Corporate Liabilities (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Asymmetric correlations of equity portfolios (2002)Chapter 18 A survey of behavioral finance (2003)Who Gambles in the Stock Market? (2009)Long memory processes and fractional integration in econometrics (1996)Predictive regressions (1999)Presidential Address: Discount Rates (2011)Advances in prospect theory: Cumulative representation of uncertainty (1992)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1979Prospect Theory: An Analysis of Decision under Risk48,459 cited
  • 1988Prospect theory: An analysis of decision under risk32,475 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 2008Market Liquidity and Funding Liquidity5,007 cited
  • 2000Conditional Skewness in Asset Pricing Tests2,837 cited
  • 1984Forward and spot exchange rates2,167 cited
  • 2001Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices1,918 cited
  • 2001Prospect Theory and Asset Prices1,876 cited
  • 1976SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*1,808 cited
  • 1992On the Estimation of Beta-Pricing Models1,615 cited
  • 1991A Theory of Disappointment Aversion1,343 cited
  • 2009A skeptical appraisal of asset pricing tests☆1,204 cited
  • 2011Common Risk Factors in Currency Markets1,079 cited
  • 2006Downside Risk1,039 cited
  • 2001Contagion as a Wealth Effect926 cited
  • 2012Carry Trades and Global Foreign Exchange Volatility925 cited

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

Cited by

  • 2017The Carry Trade: Risks and Drawdowns80 cited
  • 2012Currency Excess Returns and Global Downside Market Risk71 cited
  • 2015What Do Stock Markets Tell Us about Exchange Rates?70 cited
  • 2017Uncertainty, currency excess returns, and risk reversals67 cited
  • 2021Equity tail risk and currency risk premiums37 cited
  • 2018The impact of jumps on carry trade returns35 cited
  • 2015Can implied volatility predict returns on the currency carry trade?30 cited
  • 2015Is There a Global Safe Haven?30 cited
  • 2015Pricing Risks Across Currency Denominations27 cited
  • 2020Does Bitcoin behave as a currency?: A standard monetary model approach26 cited
  • 2014Empirical evidence on the currency carry trade, 1900–201226 cited
  • 2020Is Downside Risk Priced In Cryptocurrency Market?25 cited
  • 2014The Carry Trade: Risks and Drawdowns24 cited
  • 2021The existence and severity of the forward premium puzzle during tranquil and turbulent periods: Developed versus developing country currencies23 cited
  • 2019Carry Trades and Commodity Risk Factors22 cited
  • 2014What Do Stock Markets Tell Us About Exchange Rates?22 cited