2018年1月
Common information in carry trade risk factors
Journal of International Financial Markets, Institutions and Money
- ,
- ,
- 巻
- 52
- 号
- 開始ページ
- 37
- 終了ページ
- 47
- 記述言語
- 英語
- 掲載種別
- 研究論文(学術雑誌)
- DOI
- 10.1016/j.intfin.2017.11.003
- 出版者・発行元
- ELSEVIER SCIENCE BV
© 2017 Elsevier B.V. Carry returns have been widely observed in the FX market. This study exploits the common information embedded in several factors previously identified as relevant to carry trade returns. We find that the extracted common factor successfully models the time series and cross-sectional characteristics of carry returns. Empirical evidence is presented that the common factor produces smaller pricing errors than other well known factors, such as innovations of exchange rate volatility and the downside stock market excess return. Our results also suggest that stock market risk is somewhat segmented from FX market risk.
- リンク情報
-
- DOI
- https://doi.org/10.1016/j.intfin.2017.11.003
- Web of Science
- https://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcAuth=JSTA_CEL&SrcApp=J_Gate_JST&DestLinkType=FullRecord&KeyUT=WOS:000418493800003&DestApp=WOS_CPL
- Scopus
- https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85037027069&origin=inward
- Scopus Citedby
- https://www.scopus.com/inward/citedby.uri?partnerID=HzOxMe3b&scp=85037027069&origin=inward
- ID情報
-
- DOI : 10.1016/j.intfin.2017.11.003
- ISSN : 1042-4431
- ORCIDのPut Code : 42503279
- SCOPUS ID : 85037027069
- Web of Science ID : WOS:000418493800003