Currency carry trade regimes: Beyond the Fama regression
β Scribed by Richard Clarida; Josh Davis; Niels Pedersen
- Book ID
- 116659016
- Publisher
- Elsevier Science
- Year
- 2009
- Tongue
- English
- Weight
- 926 KB
- Volume
- 28
- Category
- Article
- ISSN
- 0261-5606
No coin nor oath required. For personal study only.
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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,
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 Grangerβcausality in either direction. An EGARCH model shows that significant volatility spillove