The Carry Trade and Fundamentals: Nothing to Fear But FEER Itself
时间和刊物:NBER2009主要内容:CarryTradehasthecharacteristicoflowSharpRatioandNegativeSkewed.Butwhenapplyinganovelbinary-outcomeclassificationteststoit,thenegativeskewnessispurged,andmarketvolatility(VIX)isuncor