𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Carry trades and the performance of currency hedge funds

✍ Scribed by Nucera, Federico; Valente, Giorgio

Book ID
122948064
Publisher
Elsevier Science
Year
2013
Tongue
English
Weight
280 KB
Volume
33
Category
Article
ISSN
0261-5606

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

The performance of currency hedge funds
The performance of currency hedge funds and the yen/USD carry trade
✍ Jarkko PeltomΓ€ki πŸ“‚ Article πŸ“… 2011 πŸ› John Wiley and Sons 🌐 English βš– 121 KB

Hedge funds are often related to the yen carry trade. This paper investigates the exposures of hedge funds that focus on currency assets to the returns of the yen/USD carry trade. The results suggest that the exposure of these hedge funds is positive only when carry trade returns are negative. Also,

Currency Carry Trades
Currency Carry Trades
✍ Berge, Travis ;JordΓ , Γ’scar ;Taylor, Alan M. πŸ“‚ Article πŸ“… 2011 πŸ› The University of Chicago Press βš– 648 KB
The relationship between currency carry
The relationship between currency carry trades and U.S. stocks
✍ Yiuman Tse; Lin Zhao πŸ“‚ Article πŸ“… 2011 πŸ› John Wiley and Sons 🌐 English βš– 533 KB

The article examines the relationship between daily returns of currency carry trades and U.S. stocks from January 1995 through September 2010. Carry trade and stock returns are highly correlated with no Granger‐causality in either direction. An EGARCH model shows that significant volatility spillove