Cross-Asset return predictability: Carry trades, stocks and commodities

Lu, H; Jacobsen, B

dc.contributor.author	Lu, H
dc.contributor.author	Jacobsen, B
dc.date.accessioned	2022-07-08T03:11:11Z
dc.date.available	2022-07-08T03:11:11Z
dc.date.issued	2015-09-18
dc.identifier.issn	1556-5068
dc.identifier.uri	https://hdl.handle.net/2292/60320
dc.description.abstract	Equity returns predict carry trade profits from shorting low interest rate currencies. Commodity price changes predict profits from longing high interest rate currencies. The gradual information diffusion hypothesis (Hong & Stein, 1999; Hong, Torous, & Valkanov, 2007) provides a ready explanation for these predictability results. These results cannot be explained by time-varying risk premia as stock returns and commodity price changes significantly predict negative carry trade profits. The predictability is one-directional, from commodities to high interest rate currencies, from commodities to stocks and from stocks to low interest rate currencies.
dc.publisher	SSRN
dc.rights	Items in ResearchSpace are protected by copyright, with all rights reserved, unless otherwise indicated. Previously published items are made available in accordance with the copyright policy of the publisher.
dc.rights.uri	https://researchspace.auckland.ac.nz/docs/uoa-docs/rights.htm
dc.rights.uri	https://service.elsevier.com/app/answers/detail/a_id/34413/supporthub/ssrn/p/16539/
dc.title	Cross-Asset return predictability: Carry trades, stocks and commodities
dc.type	Internet Publication
dc.identifier.doi	10.2139/ssrn.2560968
dc.date.updated	2022-06-16T22:12:49Z
dc.rights.holder	Copyright: The author	en
pubs.author-url	https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2560968
pubs.publication-status	Accepted
dc.rights.accessrights	http://purl.org/eprint/accessRights/OpenAccess	en
pubs.elements-id	617850
pubs.org-id	Business and Economics
pubs.org-id	Accounting and Finance
dc.identifier.eissn	1556-5068
pubs.record-created-at-source-date	2022-06-17