Do Currency Fundamentals Matter for Currency Speculators?
“In particular, the fundamental strategy outperformed carry trades during the recent global financial crisis.”
AssetCurrencies
StrategyCarry trade
GeographyGlobal
ClaimExcess return
Also stated: Fundamentals
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodCarry trade by year
FamilyCarry trade17Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 985
AssetCurrencies13
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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| The Impact of Currency Carry Trade Activity on the Transmission of Monetary Policy by Böck et al. | 2023 | ||||
| Carry Trades and Monetary Conditions by Falconio | 2016 | ||||
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