The impact of jumps on carry trade returns

Lee Suzanne S.; Wang Minho

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The impact of jumps on carry trade returns

机译：跳跃对套利交易收益的影响

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摘要

This paper investigates how jump risks are priced in currency markets. We find that currencies whose changes are more sensitive to negative market jumps provide significantly higher expected returns. The positive risk premium constitutes compensation for the extreme losses during periods of market turmoil. Using the empirical findings, we propose a jump modified carry trade strategy, which has approximately two-percentage-point (per annum) higher returns than the regular carry trade strategy. These findings result from the fact that negative jump betas are significantly related to the riskiness of currencies and business conditions. (C) 2018 Elsevier B.V. All rights reserved.

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来源
《Journal of financial economics》 |2019年第2期|433-455|共23页
作者
Lee Suzanne S.; Wang Minho;
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作者单位

Georgia Inst Technol, Scheller Coll Business, Atlanta, GA 30308 USA;

Florida Int Univ, Coll Business, Miami, FL 33174 USA;

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原文格式 PDF
正文语种 eng
中图分类
关键词
Jump beta; Jump modified carry trade; Foreign exchange rate; Carry trade;

机译：Beta跳;修改后的套利交易;外汇汇率;Carry贸易;

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The impact of jumps on carry trade returns

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