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- W3124338290 abstract "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." @default.
- W3124338290 created "2021-02-01" @default.
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- W3124338290 date "2019-01-01" @default.
- W3124338290 modified "2023-10-01" @default.
- W3124338290 title "Good Carry, Bad Carry" @default.
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- W3124338290 doi "https://doi.org/10.3386/w25420" @default.
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