Speculative capital and currency carry trades

• 成果类型: Article
• 署名作者: Jylha, Petri; Suominen, Matti
• 署名单位: Aalto University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2010.07.006
• 发表日期: 2011
• 页码: 60-75
• 关键词: HEDGE FUNDS; currency speculation; Carry trades

摘要

In this paper, we study a two-country general equilibrium model with partially segmented financial markets, where hedge funds emerge endogenously. Empirically, we show that the hedge fund investment strategy predicted by our model, which we call the risk-adjusted carry trade strategy, explains more than 16% of the overall hedge fund index returns and more than 33% of the fixed income arbitrage sub-index returns. The flow of new money to hedge funds affects market interest rates, exchange rates, and both the hedge funds' contemporaneous and expected future returns as predicted by the model. (C) 2010 Elsevier B.V. All rights reserved.