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Do Peso Problems Explain the Returns to the Carry Trade?
16 references·9 citing·36 second hop
Do Peso Problems Explain the Returns to the Carry Trade? (2008)Do Peso Problems Explain the Returns to t…Crash-neutral currency carry trades (2014)Crash-neutral currency carry …Crises and Recoveries in an Empirical Model of Consumption Disasters (2013)Crises and Recoveries in an E…The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk: Comment (2011)The Cross Section of Foreign …A Habit‐Based Explanation of the Exchange Rate Risk Premium (2010)A Habit‐Based Explanation of …Understanding Index Option Returns (2009)Understanding Index Option Re…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 Foreign Currency Risk Premia and Consumption Growth Risk (2006)The Cross-Section of Foreign …A Consumption‐Based Explanation of Expected Stock Returns (2006)A Consumption‐Based Explanati…Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Jumps and Stochastic Volatili…By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior (1995)By Force of Habit: A Consumpt…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Foreign currency option values (1983)Foreign currency option valuesRisk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…After the tide: Commodity currencies and global trade (2016)After the tide: Commodity cur…Currency Premia and Global Imbalances (2013)Currency Premia and Global Im…The “forward premium puzzle” and the sovereign default risk (2012)The “forward premium puzzle” …Do Financial Markets Reward Buying or Selling Insurance and Lottery Tickets? (2012)Do Financial Markets Reward B…Extreme returns: The case of currencies (2011)Extreme returns: The case of …Timing exchange rates using order flow: The case of the Loonie (2010)Timing exchange rates using o…Macroeconomic Determinants of Carry Trade Activity (2010)Macroeconomic Determinants of…Exchange Rates under Robustness: An Account of the Forward Premium Puzzle (2008)Exchange Rates under Robustne…Safe Haven Currencies (2007)Safe Haven CurrenciesCAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)A five-factor asset pricing model (2014)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Efficient Analytic Approximation of American Option Values (1987)Arbitrage Theory in Continuous Time (2004)Theory of rational option pricing (2005)Carry Trades and Global Foreign Exchange Volatility (2012)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)Empirical exchange rate models of the seventies (1983)The Determinants of Credit Spread Changes (2001)Market Liquidity and Funding Liquidity (2008)Do Peso Problems Explain the Returns to the Carry Trade? (2010)Currency momentum strategies (2012)International Liquidity and Exchange Rate Dynamics * (2015)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Option pricing when underlying stock returns are discontinuous (1976)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The Variance Gamma Process and Option Pricing (1998)Option valuation using the fast Fourier transform (1999)The Impact of Jumps in Volatility and Returns (2003)Financial Markets and the Real Economy (2005)The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk (2007)The Pollution Premium (2020)Asymmetric Volatility and Risk in Equity Markets (2000)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Investor Psychology and Security Market Under‐ and Overreactions (1998)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)Evaporating Liquidity (2012)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options2,272 cited
  • 1995By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior1,527 cited
  • 1983Foreign currency option values1,078 cited
  • 2008Carry Trades and Currency Crashes792 cited
  • 2008Carry Trades and Currency Crashes654 cited
  • 2006A Consumption‐Based Explanation of Expected Stock Returns653 cited
  • 2010A Habit‐Based Explanation of the Exchange Rate Risk Premium484 cited
  • 2011The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk: Comment472 cited
  • 2013Crises and Recoveries in an Empirical Model of Consumption Disasters374 cited
  • 2009Understanding Index Option Returns333 cited
  • 2014Crash-neutral currency carry trades319 cited

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The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk
265 cited

Cited by

  • 2012The “forward premium puzzle” and the sovereign default risk61 cited
  • 2012Do Financial Markets Reward Buying or Selling Insurance and Lottery Tickets?58 cited
  • 2016After the tide: Commodity currencies and global trade51 cited
  • 2010Timing exchange rates using order flow: The case of the Loonie47 cited
  • 2007Safe Haven Currencies36 cited
  • 2010Macroeconomic Determinants of Carry Trade Activity34 cited
  • 2011Extreme returns: The case of currencies27 cited
  • 2013Currency Premia and Global Imbalances26 cited
  • 2008Exchange Rates under Robustness: An Account of the Forward Premium Puzzle12 cited