Speculative capital and currency carry trades
Data up to Jan 2025
Total Citations Per Year
Abstract
References (78)
Common risk factors in the returns on stocks and bonds
1993 • 26,177 citations
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
1987 • 15,268 citations
Noise Trader Risk in Financial Markets
1990 • 6,029 citations
The Limits of Arbitrage
1997 • 4,594 citations
Market Liquidity and Funding Liquidity
2008 • 4,521 citations
Forward and spot exchange rates
1984 • 2,213 citations
Trading Volume and Serial Correlation in Stock Returns
1993 • 1,580 citations
PRACTITIONERS’ CORNER: Computing Robust Standard Errors for Within‐groups Estimators*
1987 • 1,279 citations
The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers
2001 • 1,271 citations
The forward discount anomaly and the risk premium: A survey of recent evidence
1996 • 1,172 citations
The Microstructure Approach to Exchange Rates
2001 • 1,117 citations
Hedge Fund Benchmarks: A Risk-Based Approach
2004 • 1,051 citations
Equilibrium and welfare in markets with financially constrained arbitrageurs
2002 • 1,044 citations
Anomalies: Foreign Exchange
1990 • 955 citations
Contagion as a Wealth Effect
2001 • 945 citations
Order Flow and Exchange Rate Dynamics
2002 • 914 citations
Demand-Based Option Pricing
2009 • 791 citations
Affine Term Structure Models and the Forward Premium Anomaly
2001 • 645 citations
Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?
2006 • 529 citations
The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk: Comment
2011 • 526 citations
The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk
2007 • 522 citations
The forward premium puzzle: different tales from developed and emerging economies
2000 • 513 citations
A Habit‐Based Explanation of the Exchange Rate Risk Premium
2010 • 476 citations
What Determines Chinese Stock Returns?
2004 • 458 citations
International historical statistics: Europe, 1750-2000
2003 • 453 citations
The Limits of Arbitrage
1997 • 444 citations
The "Speculative Efficiency" Hypothesis
1981 • 440 citations
On inflation and inflation uncertainty in the G7 countries
1998 • 336 citations
International historical statistics: Europe, 1750-1988
1993 • 302 citations
Exchange rate puzzles and distorted beliefs
2004 • 297 citations
Inflation risk premia and the expectations hypothesis
2005 • 264 citations
A Preferred-Habitat Model of the Term Structure of Interest Rates
2009 • 249 citations
Time-Varying Risk, Interest Rates, and Exchange Rates in General Equilibrium
2009 • 247 citations
The Time Variation of Risk and Return in Foreign Exchange Markets: A General Equilibrium Perspective
1996 • 222 citations
Accounting for Forward Rates in Markets for Foreign Currency
1993 • 219 citations
Demand-Based Option Pricing
2005 • 203 citations
The Returns to Currency Speculation in Emerging Markets
2007 • 182 citations
The implications of first-order risk aversion for asset market risk premiums
1997 • 177 citations
The Returns to Currency Speculation
2006 • 177 citations
Short-Term Investment and the Informational Efficiency of the Market
1995 • 176 citations
Rethinking Deviations From Uncovered Interest Parity: the Role of Covariance Risk and Noise
1998 • 173 citations
Measuring the market impact of hedge funds
2000 • 151 citations
Evidence of Carry Trade Activity
2007 • 150 citations
Evidence of carry trade activity
2007 • 135 citations
Money, Bonds, and Foreign Exchange
2016 • 133 citations
The risk in hedge fund strategies: Theory and evidence from long/short equity hedge funds
2011 • 123 citations
Bond Supply and Excess Bond Returns
2010 • 117 citations
Understanding the Forward Premium Puzzle: A Microstructure Approach
2009 • 113 citations
Dynamic Asset Allocation and the Informational Efficiency of Markets
1995 • 107 citations
Carry Trades and Speculative Dynamics
2006 • 101 citations
Money, bonds and foreign exchange
1979 • 99 citations
Do Professional Currency Managers Beat the Benchmark?
2008 • 95 citations
A Portrait of Hedge Fund Investors: Flows, Performance and Smart Money
2009 • 95 citations
Relationship between inflation rate and inflation uncertainty
2001 • 90 citations
Is it risk?
1988 • 85 citations
Rare Disasters and Exchange Rates
2008 • 79 citations
An explanation of the forward premium ‘puzzle’
2000 • 70 citations
An Examination of Uncovered Interest Rate Parity in Segmented International Commodity Markets
1997 • 67 citations
Trades of the living dead: Style differences, style persistence and performance of currency fund managers
2010 • 63 citations
Accounting for Forward Rates in Markets for Foreign Currency
1993 • 48 citations
A Dynamic Theory of Forward Exchange. By Paul Einzig. London [Toronto]: Macmillan and Co. Ltd., 1961. Pp. xxvi, 573.
1962 • 43 citations
A Note on Interest Parity and the Supply of Arbitrage Funds
1970 • 41 citations
Dynamic Asset Allocation and the Informational Efficiency of Markets
1995 • 35 citations
Time-varying exposures and leverage in hedge funds
2005 • 32 citations
How Important Is the Inflation Risk Premium
1998 • 23 citations
Time-varying exposures and leverage in hedge funds
2005 • 21 citations
Aggregate Hedge Fund Flows and Asset Returns
2008 • 16 citations
How Important Is the Inflation Risk Premium?
1999 • 11 citations
An Examination of Uncovered Interest Rate Parity in Segmented International Commodity Markets
1997 • 10 citations
Investor Overconfidence and the Forward Discount Puzzle
2005 • 10 citations
Risk-Premia, Carry-Trade Dynamics, and Speculative Efficiency of Currency Markets
2008 • 10 citations
The Forward Premium Puzzle in a Model of Imperfect Information: Theory and Evidence
1998 • 9 citations
Investor Overconfidence and the Forward Premium Puzzle
2010 • 9 citations
The forward premium puzzle in a model of imperfect information
2007 • 7 citations
Profits from Forward Exchange Speculation
1965 • 7 citations
Risk-Premia, Carry-Trade Dynamics, and Economic Value of Currency Speculation
2008 • 5 citations
Hedge Fund Flows and Contagion in Financial Markets
2007 • 3 citations
Hedge Fund Predictability Under the Magnifying Glass: Forecasting Individual Fund Returns Using Multiple Predictors
2009 • 3 citations