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dc.contributor.authorDrut, Bastien
dc.contributor.authorBrière, Marie
dc.date.accessioned2011-12-07T12:41:28Z
dc.date.available2011-12-07T12:41:28Z
dc.date.issued2009-07
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/7743
dc.language.isoenen
dc.subjectCarry tradesen
dc.subjectexchange ratesen
dc.subjectfinancial crisisen
dc.subjectrisk aversionen
dc.subjectinvestment strategyen
dc.subjectpurchasing power parityen
dc.subjectfundamentals modelen
dc.subject.ddc332en
dc.subject.classificationjelG15en
dc.subject.classificationjelG11en
dc.subject.classificationjelF31en
dc.titleThe Revenge of Purchasing Power Parity on Carry Trades during Crisesen
dc.typeDocument de travail / Working paper
dc.description.abstractenEmpirical evidence shows that fundamental models have produced disappointing results over the past 20 years while carry trade strategies have performed superbly. But the real picture is much more complex. In fact, the track records of both strategies have varied considerably. This article shows that they have actually alternated between periods of profitability and underperformance. It also shows that when carry trade strategies perform well, fundamental strategies do poorly, and vice versa. Crises appear to play a significant role in the alternation of investment styles on currency markets. In contrast to carry trades, fundamental strategies perform remarkably well in crises. A portfolio that rotates between these two types of strategies, based on a risk aversion indicator such as implied equity volatility, would substantially outperform a pure carry trade strategy and would be robust to crises.en
dc.publisher.nameULB : Universite Libre de Bruxelles
dc.publisher.cityBruxelles
dc.identifier.citationpages27en
dc.relation.ispartofseriestitleCEB Working Paperen
dc.relation.ispartofseriesnumber09/013en
dc.description.sponsorshipprivateouien
dc.subject.ddclabelEconomie financièreen


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