Carry

• 成果类型: Article
• 署名作者: Koijen, Ralph S. J.; Moskowitz, Tobias J.; Pedersen, Lasse Heje; Vrugt, Evert B.
• 署名单位: New York University; Yale University; Copenhagen Business School; Vrije Universiteit Amsterdam; National Bureau of Economic Research; Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2017.11.002
• 发表日期: 2018
• 页码: 197-225
• 关键词: Carry trade; predictability; stocks; bonds; Currencies; Commodities; Corporate bonds; options; liquidity risk; Volatility risk

摘要

We apply the concept of carry, which has been studied almost exclusively in currency markets, to any asset. A security's expected return is decomposed into its carry, an ex-ante and model-free characteristic, and its expected price appreciation. Carry predicts returns cross-sectionally and in time series for a host of different asset classes, including global equities, global bonds, commodities, US Treasuries, credit, and options. Carry is not explained by known predictors of returns from these asset classes, and it captures many of these predictors, providing a unifying framework for return predictability. We reject a generalized version of Uncovered Interest Parity and the Expectations Hypothesis in favor of models with varying risk premia, in which carry strategies are commonly exposed to global recession, liquidity, and volatility risks, though none fully explains carry's premium. (C) 2017 Elsevier B.V. All rights reserved.