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Carry Trades and Global Foreign Exchange Volatility
16 references·16 citing·32 second hopsampled
Carry Trades and Global Foreign Exchange Volatility (2012)Carry Trades and Global Foreign Exchange …Market Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …The Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…Asset pricing with liquidity risk (2005)Asset pricing with liquidity …Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…The Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …Conditional Skewness in Asset Pricing Tests (2000)Conditional Skewness in Asset…The Conditional CAPM and the Cross-Section of Expected Returns (1996)The Conditional CAPM and the …Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Heteroskedasticity and Autoco…Forward and spot exchange rates (1984)Forward and spot exchange rat…Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Forward Exchange Rates as Opt…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Factor Momentum and the Momentum Factor (2022)Factor Momentum and the Momen…Global Political Uncertainty and Asset Prices (2019)Global Political Uncertainty …The Share of Systematic Variation in Bilateral Exchange Rates (2017)The Share of Systematic Varia…Intermediary asset pricing: New evidence from many asset classes (2017)Intermediary asset pricing: N…Carry (2017)CarryQuantitative Easing and Volatility Spillovers Across Countries and Asset Classes (2016)Quantitative Easing and Volat…Currency Premia and Global Imbalances (2016)Currency Premia and Global Im…Exchange Rates and Interest Parity (2014)Exchange Rates and Interest P…Conditional risk premia in currency markets and other asset classes (2014)Conditional risk premia in cu…Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums (2013)Liquidity in the Foreign Exch…Countercyclical currency risk premia (2013)Countercyclical currency risk…Macroeconomic Determinants of Carry Trade Activity (2012)Macroeconomic Determinants of…Currency momentum strategies (2012)Currency momentum strategiesA comprehensive look at financial volatility prediction by economic variables (2012)A comprehensive look at finan…Getting beyond carry trade: What makes a safe haven currency? (2011)Getting beyond carry trade: W…Carry Trade and Momentum in Currency Markets (2011)Carry Trade and Momentum in C…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)Financial Intermediation and Delegated Monitoring (1984)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)The Behavior of Stock-Market Prices (1965)Time Series Regression with a Unit Root (1987)Automatic Lag Selection in Covariance Matrix Estimation (1994)Emerging equity market volatility (1997)Bayesian Analysis of Stochastic Volatility Models (2002)Editor's Choice Digesting Anomalies: An Investment ApproachCommon risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Liquidity and leverage (2008)… and the Cross-Section of Expected Returns (2015)Does the Stock Market Overreact? (1985)The Cross-Section of Expected Stock Returns (1992)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Credit Rationing in Markets with Imperfect Information (1981)Bank Runs, Deposit Insurance, and Liquidity (1983)Continuous Auctions and Insider Trading (1985)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Industry costs of equity (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 2008Market Liquidity and Funding Liquidity5,007 cited
  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
  • 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
  • 2000Conditional Skewness in Asset Pricing Tests2,837 cited
  • 2005Asset pricing with liquidity risk2,816 cited
  • 1996The Conditional CAPM and the Cross-Section of Expected Returns2,537 cited
  • 1984Forward and spot exchange rates2,167 cited
  • 1980Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis2,112 cited
  • 2001

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The Distribution of Realized Exchange Rate Volatility
2,108 cited

Cited by

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  • 2013Countercyclical currency risk premia360 cited
  • 2013Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums320 cited
  • 2014Exchange Rates and Interest Parity284 cited
  • 2017Carry284 cited
  • 2012A comprehensive look at financial volatility prediction by economic variables275 cited
  • 2017The Share of Systematic Variation in Bilateral Exchange Rates257 cited
  • 2016Quantitative Easing and Volatility Spillovers Across Countries and Asset Classes242 cited
  • 2022Factor Momentum and the Momentum Factor231 cited
  • 2011Carry Trade and Momentum in Currency Markets228 cited
  • 2019Global Political Uncertainty and Asset Prices213 cited
  • 2012Macroeconomic Determinants of Carry Trade Activity211 cited
  • 2011Getting beyond carry trade: What makes a safe haven currency?210 cited
  • 2016Currency Premia and Global Imbalances208 cited