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Carry Trades and Global FX Volatility
16 references·1 citing·33 second hop
Carry Trades and Global FX Volatility (2009)Carry Trades and Global FX VolatilityMarket Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …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…Asset Pricing: Revised Edition (2005)Asset Pricing: Revised EditionAsset pricing with liquidity risk (2005)Asset pricing with liquidity …Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns (2002)Nonlinear Pricing Kernels, Ku…Do Industries Explain Momentum? (1999)Do Industries Explain Momentu…Autoregressive Conditional Skewness (1999)Autoregressive Conditional Sk…Assessing Specification Errors in Stochastic Discount Factor Models (1997)Assessing Specification Error…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…On the Estimation of Beta-Pricing Models (1992)On the Estimation of Beta-Pri…Intertemporal Asset Pricing Without Consumption Data (1992)Intertemporal Asset Pricing W…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…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…The Carry Trade: Risks and Drawdowns (2014)The Carry Trade: Risks and Dr…The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Price Momentum and Trading Volume (2000)Economic Links and Predictable Returns (2008)Time Series Momentum (2011)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Long memory processes and fractional integration in econometrics (1996)Predictive regressions (1999)Presidential Address: Discount Rates (2011)Asset Prices in an Exchange Economy (1978)Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Does financial liberalization spur growth? (2005)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)Editor's Choice Digesting Anomalies: An Investment ApproachThe Pricing of Options and Corporate Liabilities (1973)Liquidity and leverage (2008)… and the Cross-Section of Expected Returns (2015)Does the Stock Market Overreact? (1985)Multifactor Explanations of Asset Pricing Anomalies (1996)Investor Psychology and Security Market Under‐ and Overreactions (1998)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)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)
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References

  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 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
  • 2005Asset pricing with liquidity risk2,816 cited
  • 1984Forward and spot exchange rates2,167 cited
  • 1980Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis2,112 cited
  • 1999Do Industries Explain Momentum?1,770 cited
  • 1992On the Estimation of Beta-Pricing Models1,615 cited
  • 1992Intertemporal Asset Pricing Without Consumption Data954 cited
  • 2002Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns840 cited
  • 1997Assessing Specification Errors in Stochastic Discount Factor Models768 cited
  • 1999Autoregressive Conditional Skewness761 cited
  • 2005Asset Pricing: Revised Edition718 cited
  • 2008Carry Trades and Currency Crashes

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  • 2014The Carry Trade: Risks and Drawdowns24 cited