TY  - BOOK
AU  - Bekaert,Geert
AU  - Panayotov,George
ED  - National Bureau of Economic Research.
TI  - Good Carry, Bad Carry
T2  - NBER working paper series
PY  - 2019///
CY  - Cambridge, Mass.
PB  - National Bureau of Economic Research
N1  - January 2019; Hardcopy version available to institutional subscribers
N2  - We distinguish between "good" and "bad" carry trades constructed from G-10 currencies. The good trades exhibit higher Sharpe ratios and sometimes positive return skewness, in contrast to the bad trades that have both substantially lower Sharpe ratios and highly negative return skewness. Surprisingly, good trades do not involve the most typical carry currencies like the Australian dollar and Japanese yen. The distinction between good and bad carry trades significantly alters our understanding of currency carry trade returns, and invalidates, for example, explanations invoking return skewness and crash risk
UR  - https://www.nber.org/papers/w25420
UR  - http://dx.doi.org/10.3386/w25420
ER  -