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http://hdl.handle.net/10419/58381
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| Title: | | Carry trade  |
| 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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