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 |
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Master of Science [1622]