Currency carry trade returns are on average large and non-normally distributed. While the literature has found … pose a puzzle. We propose a new model to explain these non-normal properties of currency carry trade returns, by assuming … weighting is called crash-o-phobia. Using non-linear least squares and risk-neutral state prices implied by currency options, we …

The currency carry trade (CCT) strategy - borrowing in low-interest-rate currencies and investing in high … returns from currency carry trades. Analyzing a broad sample of US firms, our contribution to the literature is twofold: (i …) Based on an APT approach we find a risk premium for implicitly executed currency carry trades in equity returns. (ii) We …