The profitability of Carry trade: an empirical analysis
Costantini, Flavia (A.A. 2020/2021) The profitability of Carry trade: an empirical analysis. Tesi di Laurea in International finance, Luiss Guido Carli, relatore Guido Traficante, pp. 106. [Master's Degree Thesis]
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Abstract/Index
The forward premium puzzle. Covered interest parity. Uncovered interest parity. Forward rate unbiasedness. Empirical evidence on covered interest parity. Empirical evidence on uncovered interest parity and forward rate unbiasedness. Explanations for the forward premium puzzle. The Carry trade strategy. Basic features of Carry trade. Empirical evidence on Carry trade activity. Explanations for the Carry trade profitability. Empirical analysis on the profitability of Carry trade. Data and methodology. Summary statistics on carry trade excess returns. Risk-based explanations for carry trade profitability.
References
Bibliografia e sitografia: pp. 96-102.
| 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: | International finance |
| Thesis Supervisor: | Traficante, Guido |
| Thesis Co-Supervisor: | Lippi, Francesco |
| Academic Year: | 2020/2021 |
| Session: | Extraordinary |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 06 Sep 2022 16:17 |
| Last Modified: | 06 Sep 2022 16:17 |
| URI: | https://tesi.luiss.it/id/eprint/33233 |
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