The carry trade strategy

Rezza, Lidia (A.A. 2020/2021) The carry trade strategy. Tesi di Laurea in Equity markets and alternative investments, Luiss Guido Carli, relatore Paolo Vitale, pp. 45. [Master's Degree Thesis]

Full text for this thesis not available from the repository.


Uncovered interest parity. The carry trade strategy. Literature review. Common risk factors and currency factors. Currency risk premia and consumption growth risk. Carry trades and currency crashes. Empirical analysis. Data. UIP hypothesis test. Discussion of the UIP regression results. UIP testing literature and comparison of the results. Exchange rate movements during the financial crisis of 2007-08. UIP theory for developed countries. UIP theory for developing countries. Common risk factors in currency returns. Measuring the return to the carry trade. Pricing the returns to the carry trade. Fama-French three factor model. Volatility and liquidity risk factors. Empirical findings. Discussion. Pre and post financial crisis results.


Bibliografia: pp. 42-45.

Thesis Type: Master's Degree Thesis
Institution: Luiss Guido Carli
Degree Program: Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56)
Chair: Equity markets and alternative investments
Thesis Supervisor: Vitale, Paolo
Thesis Co-Supervisor: Morelli, Marco
Academic Year: 2020/2021
Session: Autumn
Deposited by: Alessandro Perfetti
Date Deposited: 24 Mar 2022 10:58
Last Modified: 24 Mar 2022 10:58


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