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Title:Carry trade PDF Logo
Authors:Jorda, Oscar
Issue Date:2010
Series/Report no.:Working Papers, University of California, Department of Economics 10,18
Abstract:It does not take much sophistication for a speculator to generate risk-adjusted positive returns with the carry trade. A number of obvious improvements (such as optimally designed portfolios, strategies that permit the speculator to remain in a cash position when expected returns are small or uncertain, and others not considered here) would only improve the speculatorÂ’s returns further. That this is so poses a challenge to conventional notions of market efficiency and long-standing puzzles in international finance. The carry trade is a risky investment but its positive returns are hard to justify on the basis of the investorÂ’s tolerance for exposure or how returns correlate with a wide range of alternative risk factors.
Document Type:Working Paper
Appears in Collections:Working Papers, Department of Economics, UC Davis

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