Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: http://hdl.handle.net/10419/58381
Autor:innen: 
Jordà, Òscar
Datum: 
2010
Schriftenreihe/Nr.: 
Working Paper No. 10-18
Verlag: 
University of California, Department of Economics, Davis, CA
Zusammenfassung: 
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 speculator'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 investor's tolerance for exposure or how returns correlate with a wide range of alternative risk factors.
Dokumentart: 
Working Paper

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