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We examine the factors that account for the returns on currency carry trade strategies. Using a dataset of daily returns spanning 18 years for 5 different long - short currency carry portfolios, we first document a robust empirical relationship between carry trade excess returns and exchange...
Persistent link: https://www.econbiz.de/10013150170
Persistent link: https://www.econbiz.de/10003909085
We examine the factors that account for the returns on currency carry trade strategies. Using a dataset of daily returns spanning 18 years for 5 different long - short currency carry portfolios, we first document a robust empirical relationship between carry trade excess returns and exchange...
Persistent link: https://www.econbiz.de/10012463126
Persistent link: https://www.econbiz.de/10003929185