EconPapers    
Economics at your fingertips  
 

Carry

Ralph Koijen, Tobias J. Moskowitz, Lasse Pedersen and Evert Vrugt

No 19325, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: A security's expected return can be decomposed into its "carry" and its expected price appreciation, where carry can be measured in advance without an asset pricing model. We find that carry predicts returns both in the cross section and time series for a variety of different asset classes that include global equities, global bonds, currencies, commodities, US Treasuries, credit, and equity index options. This predictability underlies the strong returns to "carry trades" that go long high-carry and short low-carry securities, applied almost exclusively to currencies, but shown here to be a robust feature of many assets. We decompose carry returns into static and dynamic components and analyze the economic exposures. Despite unconditionally low correlations across asset classes, we find times when carry strategies across all asset classes do poorly, and show that these episodes coincide with global recessions.

JEL-codes: F3 G1 (search for similar items in EconPapers)
Date: 2013-08
Note: AP IFM
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published as Ralph S.J. Koijen & Tobias J. Moskowitz & Lasse Heje Pedersen & Evert B. Vrugt, 2017. "Carry," Journal of Financial Economics, .

Downloads: (external link)
http://www.nber.org/papers/w19325.pdf (application/pdf)

Related works:
Journal Article: Carry (2018) Downloads
Working Paper: Carry (2013) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberwo:19325

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w19325

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().

 
Page updated 2025-03-19
Handle: RePEc:nbr:nberwo:19325