The pricing of risk in the carry trade

0044 English OPEN
Lu, Wenna;
  • Subject: HB

ABSTRACT\ud This thesis examines the relationship between foreign exchange (FX) volatility and excess returns from the currency market. We argue that FX volatility plays an important role in explaining the excess returns from the currency market so as in partially expla... View more
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    Table 7-2 Fama Regression: For 8 Individual Currencies ............................................... 141 Table 7-3 Real Exchange Rate Regression: For 8 Individual Currencies ................... 146 Table 7-4 Descriptive Statistics ................................................................................................. 150 Table 7-5 The Descriptive Statistics for the Mixed Strategy........................................... 156 Table 7-6 The Descriptive Statistics for the Mixed Strategy........................................... 156 Table 7-7 Descriptive Statistics for Returns from 1983M11 to 2013M3 .................. 160 Table 7-8 Descriptive Statistics for Returns of the Forecasted Period from 2011M10 to 2013M3................................................................................................................................. 162 Table 7-9 Descriptive Statistics for Returns From 1983M11 to 2013M3 ................. 163 Table 7-10 Descriptive Statistics for Returns of the Forecasted Period from 2007M12 to 2013M03 ......................................................................................................... 164 Table 7-11 Descriptive Statistics for Returns of the Forecasted Period from 2007M12 to 2011M09 ......................................................................................................... 165

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