Crash-neutral currency carry trades

• 成果类型: Article
• 署名作者: Jurek, Jakub W.
• 署名单位: Princeton University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2014.05.004
• 发表日期: 2014
• 页码: 325-347
• 关键词: Carry trade; Crash risk; Foreign exchange option; Forward premium anomaly; Uncovered interest rate parity

摘要

Currency carry trades exploiting violations of uncovered interest rate parity in G10 currencies deliver significant excess returns with annualized Sharpe ratios equal to or greater than those of equity market factors (1990-2012). Using data on out-of-the-money foreign exchange options, I compute returns to crash-hedged portfolios and demonstrate that the high returns to carry trades are not due to peso problems. A comparison of the returns to hedged and unhedged trades indicates crash risk premia account for at most one-third of the excess return to currency carry trades. (C) 2014 Published by Elsevier B.V.