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

Show simple item record Lu, H Jacobsen, B 2022-07-08T03:11:11Z 2022-07-08T03:11:11Z 2015-09-18
dc.identifier.issn 1556-5068
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.title Cross-Asset return predictability: Carry trades, stocks and commodities
dc.type Internet Publication
dc.identifier.doi 10.2139/ssrn.2560968 2022-06-16T22:12:49Z
dc.rights.holder Copyright: The author en
pubs.publication-status Accepted
dc.rights.accessrights en
pubs.elements-id 617850 Business and Economics Accounting and Finance
dc.identifier.eissn 1556-5068
pubs.record-created-at-source-date 2022-06-17

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