期刊
REVIEW OF FINANCIAL STUDIES
卷 24, 期 3, 页码 853-891出版社
OXFORD UNIV PRESS INC
DOI: 10.1093/rfs/hhq138
关键词
F31
We study the properties of the carry trade, a currency speculation strategy in which an investor borrows low-interest-rate currencies and lends high-interest-rate currencies. This strategy generates payoffs that are on average large and uncorrelated with traditional risk factors. We argue that these payoffs reflect a peso problem. The underlying peso event features high values of the stochastic discount factor rather than very large negative payoffs.
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