Salvaging the C-CAPM: Currency Carry Trade Risk Premia and Conditioning Information
نویسندگان
چکیده
منابع مشابه
Online Appendix for “The Term Structure of Currency Carry Trade Risk Premia” —Not For Publication—
This Online Appendix describes additional empirical and theoretical results on foreign bond returns in U.S. dollars. Section A reports additional results on portfolios of countries sorted by the short-term interest rates. Section B reports similar results for portfolios of countries sorted by the slope of the yield curves. Section C reports additional results obtained with zero-coupon bonds. Se...
متن کاملOnline Appendix for “The Term Structure of Currency Carry Trade Risk Premia” —Not For Publication—
• Section A gathers robustness checks on empirical results: subsection A.1 reports additional time-series predictability results; subsection A.2 reports additional results on portfolios of countries sorted by the deviation of their short-term interest rate from its 10-year rolling mean; subsection A.3 reports results on portfolios of countries sorted by the short-term interest rate level; subse...
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Foreign exchange market efficiency is commonly investigated by Fama-regression tests of uncovered interest parity (UIP). In this paper, we conjecture a speculative UIP relationship which implies that exchange rate changes comprise a time-varying risk component in addition to the forward premium. This suggests that the forward premium anomaly reported in previous research potentially stems from ...
متن کاملOption-Implied Currency Risk Premia
We use cross-sectional information on the prices of G10 currency options to calibrate a non-Gaussian model of pricing kernel dynamics and construct estimates of conditional currency risk premia. We find that the mean historical returns to short dollar and carry factors (HMLFX ) are statistically indistinguishable from their option-implied counterparts, which are free from peso problems. Skewnes...
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This study empirically examines the effect of foreign exchange (FX) market liquidity risk and volatility on the excess returns of currency carry trades. In contrast to the existent literature, we construct an alternative proxy of liquidity risk violations of no arbitrage bounds in the forward and currency swap markets. We also use volatility smile data to capture FX-market specific volatility. ...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2011
ISSN: 1556-5068
DOI: 10.2139/ssrn.1927265