Matches in SemOpenAlex for { <https://semopenalex.org/work/W290610559> ?p ?o ?g. }
- W290610559 abstract "We provide a risk-based explanation for the excess returns of two widely-known currency speculation strategies: carry and momentum trades. We construct a global equity correlation factor and show that it explains the variation in average excess returns of both these strategies. The global correlation factor has a robust negative price of beta risk in the FX market. We also present a multi-currency model which illustrates why heterogeneous exposures to our correlation factor explain the excess returns of both portfolios." @default.
- W290610559 created "2016-06-24" @default.
- W290610559 creator A5006454762 @default.
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- W290610559 date "2014-01-01" @default.
- W290610559 modified "2023-09-27" @default.
- W290610559 title "Global Equity Correlation in Carry and Momentum Trades" @default.
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- W290610559 doi "https://doi.org/10.2139/ssrn.2521608" @default.
- W290610559 hasPublicationYear "2014" @default.
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