Good Carry, Bad Carry

被引：34

作者：

Bekaert, Geert ^{[1
]}

Panayotov, George ^{[2
]}

机构：

[1] Columbia Univ, Business Sch, New York, NY 10027 USA

[2] Hong Kong Univ Sci & Technol, Sch Business, Hong Kong, Peoples R China

来源：

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS | 2020年 / 55卷 / 04期

关键词：

TRADE; RISK; RETURNS; SHARPE;

D O I：

10.1017/S0022109019000887

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We distinguish between "good" and "bad" carry trades constructed from Group of Ten (G-10) currencies. The good trades exhibit higher Sharpe ratios and sometimes positive return skewness, in contrast to the bad trades, which have both substantially lower Sharpe ratios and highly negative return skewness. Surprisingly, good trades do not involve the most typical carry currencies like the Australian dollar and Japanese yen. The distinction between good and bad carry trades significantly alters our understanding of currency carry trade returns, and invalidates, for example, explanations invoking return skewness and crash risk.

引用

页码：1063 / 1094

页数：32

共 32 条

[1]

Adrian T., 2015, STAFF REPORTS

[2]

ANG A., 2010, Working paper

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