CiteULike RobHayward's CiteULike Search Register Log in
CiteULike is a free online bibliography manager. Register and you can start organising your references online.

Leveraged carry trade portfolios Export

by: Zsolt Darvas
Journal of Banking & Finance, Vol. 33, No. 5. (May 2009), pp. 944-957.

Citation Format

[Posts]

View FullText article


RobHayward's tags for this article

fx hedge uip

X Reviews [Write a review of this article]

X Notes for this article

RobHayward has 1 private note and 0 public notes for this article. If you are RobHayward then you can log in to see the private note.

X Find related articles from these CiteULike users

X Find related articles with these CiteULike tags

X Posting History

X Abstract

Studying all possible pairs of 11 major currencies and 11 portfolios in 1976–2008 we show that, when there is no leverage, carry trade is significantly profitable for most currency pairs and portfolios. Positive returns do not diminish in time providing a strong case against the hypothesis of uncovered interest rate parity. We explain these findings with the leveraged nature of carry trade: leverage may increase profitability but it materially increases downside risk. We argue that market inefficiency is related to the level of leverage.


X BibTeX record

X RIS record


Privacy Statement | Terms & Conditions
CiteULike organises scholarly (or academic) papers or literature and provides bibliographic (which means it makes bibliographies) for universities and higher education establishments. It helps undergraduates and postgraduates. People studying for PhDs or in postdoctoral (postdoc) positions. The service is similar in scope to EndNote or RefWorks or any other reference manager like BibTeX, but it is a social bookmarking service for scientists and humanities researchers.