Carry trade and momentum in currency markets
Publication
, Journal Article
Burnside, C; Eichenbaum, M; Rebelo, S
Published in: Annual Review of Financial Economics
November 16, 2011
We examine the empirical properties of the payoffs to two popular currency speculation strategies: the carry trade and momentum. We review three possible explanations for the apparent profitability of these strategies. The first is that speculators are being compensated for bearing risk. The second is that these strategies are vulnerable to rare disasters or peso problems. The third is that there is price pressure in currency markets. © 2011 by Annual Reviews. All rights reserved.
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Published In
Annual Review of Financial Economics
DOI
EISSN
1941-1375
ISSN
1941-1367
Publication Date
November 16, 2011
Volume
3
Start / End Page
511 / 535
Related Subject Headings
- 3502 Banking, finance and investment
Citation
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Burnside, C., Eichenbaum, M., & Rebelo, S. (2011). Carry trade and momentum in currency markets. Annual Review of Financial Economics, 3, 511–535. https://doi.org/10.1146/annurev-financial-102710-144913
Burnside, C., M. Eichenbaum, and S. Rebelo. “Carry trade and momentum in currency markets.” Annual Review of Financial Economics 3 (November 16, 2011): 511–35. https://doi.org/10.1146/annurev-financial-102710-144913.
Burnside C, Eichenbaum M, Rebelo S. Carry trade and momentum in currency markets. Annual Review of Financial Economics. 2011 Nov 16;3:511–35.
Burnside, C., et al. “Carry trade and momentum in currency markets.” Annual Review of Financial Economics, vol. 3, Nov. 2011, pp. 511–35. Scopus, doi:10.1146/annurev-financial-102710-144913.
Burnside C, Eichenbaum M, Rebelo S. Carry trade and momentum in currency markets. Annual Review of Financial Economics. 2011 Nov 16;3:511–535.
Published In
Annual Review of Financial Economics
DOI
EISSN
1941-1375
ISSN
1941-1367
Publication Date
November 16, 2011
Volume
3
Start / End Page
511 / 535
Related Subject Headings
- 3502 Banking, finance and investment