The Cost to Carry: Investor Uncertainty and the Currency Risk Premia

dc.contributor.author	Bosnic, Asja
dc.contributor.author	Ionita, Nicoleta
dc.date.accessioned	2020-11-06T11:34:01Z
dc.date.available	2020-11-06T11:34:01Z
dc.date.issued	2020
dc.identifier.uri	https://hdl.handle.net/11250/2686736
dc.description	Masteroppgave(MSc) in Master of Science in Finance - Handelshøyskolen BI, 2020	en_US
dc.description.abstract	This thesis explores a risk-based explanation of carry trade returns in currency markets. We propose a two-factor model that uses investor uncertainty proxied by News Implied Volatility innovations (NVIX) and the dollar factor to explain the profitability of the carry trade strategy. This model explains 86% of the variation in currency returns. The NVIX innovations factor commands a negative risk premium of 12.9% per annum. In addition, we use NVIX’s forecasting ability in carry trade returns to hedge the downside risk and improve the profitability of the carry trade strategy.	en_US
dc.language.iso	nob	en_US
dc.publisher	Handelshøyskolen BI	en_US
dc.subject	finans	en_US
dc.subject	finance	en_US
dc.title	The Cost to Carry: Investor Uncertainty and the Currency Risk Premia	en_US
dc.type	Master thesis	en_US