No Access
A Proposal to Boost the Profitability of Carry Trade
https://doi.org/10.1142/S0219091513500252Cited by:1 (Source: Crossref)
Abstract
It is demonstrated that carry trade can be made more profitable by taking into account the drift factor in the random walk behavior of the underlying exchange rate if it is significant. By using four currency combinations we find the drift factor to be significant at horizons longer than one month and that if it is taken into account, the outcome of carry trade improves in terms of risk-adjusted return. The results and conclusions are consistent whether the exercise is conducted within-sample or out of-sample.
References
- Bank for International Settlements (2007). 77th Annual Report 2006/07, Basel . Google Scholar
- Review of Financial Studies 24, 853 (2010), DOI: 10.1093/rfs/hhq138. Crossref, Web of Science, Google Scholar
- Review of Pacific Basin Financial Markets and Policies 10(2), 265 (2007), DOI: 10.1142/S0219091507001069. Link, Google Scholar
- BIS Quarterly Review 73 (2007). Google Scholar
- Review of Quantitative Finance and Accounting 13, 171 (1999), DOI: 10.1023/A:1008399910942. Crossref, Google Scholar
- Review of Quantitative Finance and Accounting 14, 381 (2000), DOI: 10.1023/A:1008323926951. Crossref, Google Scholar
- Economia Internazionale 63, 261 (2010). Google Scholar
- Review of Quantitative Finance and Accounting 37, 267 (2011), DOI: 10.1007/s11156-010-0204-1. Crossref, Google Scholar
- Moosa, I and K Burns (2013). A reappraisal of the Meese-Rogoff puzzle. Applied Economics, forthcoming . Google Scholar
- Review of Quantitative Finance and Accounting 25, 55 (2005), DOI: 10.1007/s11156-005-3179-6. Crossref, Google Scholar
- Annals of Finance 5, 231 (2009), DOI: 10.1007/s10436-008-0098-2. Crossref, Web of Science, Google Scholar
