Change search
ReferencesLink to record
Permanent link

Direct link
The Performance of Currency Hedge Funds and the Yen/USD Carry Trade
2011 (English)In: International journal of finance and economics, ISSN 1076-9307, E-ISSN 1099-1158, Vol. 16, no 2, 103-113 p.Article in journal (Refereed) Published
Abstract [en]

Hedge funds are often related to the yen carry trade. This paper investigates the exposures of hedge funds that focus on currency assets to the returns of the yen/USD carry trade. The results suggest that the exposure of these hedge funds is positive only when carry trade returns are negative. Also, the results implicate that the exposure of hedge funds to the carry trade returns may be conditional on the implied volatility of the yen/USD exchange rate. And changes in this implied volatility have statistically significant impact on the returns of hedge funds.

Place, publisher, year, edition, pages
2011. Vol. 16, no 2, 103-113 p.
National Category
Business Administration
URN: urn:nbn:se:su:diva-65231DOI: 10.1002/ijfe.417OAI: diva2:461804
Available from: 2011-12-05 Created: 2011-12-05 Last updated: 2015-12-09Bibliographically approved

Open Access in DiVA

No full text

Other links

Publisher's full text

Search in DiVA

By author/editor
Peltomäki, Jarkko
In the same journal
International journal of finance and economics
Business Administration

Search outside of DiVA

GoogleGoogle Scholar
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

Altmetric score

Total: 99 hits
ReferencesLink to record
Permanent link

Direct link