Please use this identifier to cite or link to this item: http://dx.doi.org/10.25673/97328
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dc.contributor.authorSchulze, Gordon-
dc.date.accessioned2023-01-16T09:50:48Z-
dc.date.available2023-01-16T09:50:48Z-
dc.date.issued2021-
dc.date.submitted2021-
dc.identifier.urihttps://opendata.uni-halle.de//handle/1981185920/99284-
dc.identifier.urihttp://dx.doi.org/10.25673/97328-
dc.description.abstractThe returns to carry trades are controversially discussed. There seems to be no unifying risk-based explanation of currency returns and stock returns, while the countries’ interest rate differential plays a leading part in the carry-trade performance. Therefore, this paper addresses carry-trade returns from a risk-pricing perspective and examines if these returns can be connected to cross-country differences in risk pricing in the interest-rate market compared to the stock market. Data from Thomson Reuters Datastream and Federal Reserve Economic Data covering Australia, Japan, New Zealand, Switzerland and the United States were analyzed based on GMM estimation. The results indicate significant and persistent cross-country differences in risk aversion in the interest-rate market compared to the implied risk aversion in the stock market. This may offer opportunities for risk arbitrage and, therefore, a risk pricing-related explanation of carry-trade returns.eng
dc.description.sponsorshipProjekt DEAL 2021-
dc.language.isoeng-
dc.relation.ispartofhttp://link.springer.com/journal/11293-
dc.rights.urihttps://creativecommons.org/licenses/by/4.0/-
dc.subjectCarry tradeeng
dc.subjectCurrency returnseng
dc.subjectForeign exchangeeng
dc.subjectRisk aversioneng
dc.subjectStochastic discount factoreng
dc.subject.ddc330-
dc.titleCarry trade returns and segmented risk pricingeng
dc.typeArticle-
dc.identifier.urnurn:nbn:de:gbv:ma9:1-1981185920-992847-
local.versionTypepublishedVersion-
local.bibliographicCitation.journaltitleAtlantic economic journal-
local.bibliographicCitation.volume49-
local.bibliographicCitation.issue1-
local.bibliographicCitation.pagestart23-
local.bibliographicCitation.pageend40-
local.bibliographicCitation.publishernameAtlantic Economic Society-
local.bibliographicCitation.publisherplaceRichmond, Va.-
local.bibliographicCitation.doi10.1007/s11293-021-09698-2-
local.openaccesstrue-
dc.identifier.ppn1760501190-
local.bibliographicCitation.year2021-
cbs.sru.importDate2023-01-16T09:46:19Z-
local.bibliographicCitationEnthalten in Atlantic economic journal - Richmond, Va. : Atlantic Economic Society, 1973-
local.accessrights.dnbfree-
Appears in Collections:Fakultät für Wirtschaftswissenschaft (OA)

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