Carry Bibliography

May 28, 2014
  • Contributors:

    AQR Capital Management
  • Topic:

    Style Investing

Here is a selected list of books, journal articles and working papers that we found helpful in developing our research around Carry strategies.

Acharya, Viral V., Lars A. Lochstoer and Tarun Ramadorai, 2010, “Limits to Arbitrage and Hedging: Evidence From Commodity Markets,” Journal of Financial Economics, 109(2), 441–465

Acharya, Viral V., and Lasse Heje Pedersen, 2005, “Asset Pricing With Liquidity Risk,” Journal of Financial Economics 77(2), 375–410

Asness, Cliff S., Tobias J. Moskowitz and Lasse H. Pedersen, 2013, “Value and Momentum Everywhere,” The Journal of Finance, 68(3), 929–985

Bacchetta, Philippe, and Eric van Wincoop, 2010, “Infrequent Portfolio Decisions: a Solution to the Forward Discount Puzzle,” American Economic Review 100(3), 870–904

Bailey, Warren, and K. C. Chan, 1993, “Macroeconomic Influences and the Variability of the Commodity Futures Basis,” The Journal of Finance 48(2), 555–573

Bansal, Ravi, and Amir Yaron, 2004, “Risks for the Long-Run: A Potential Resolution of Asset Pricing Puzzles,” The Journal of Finance 59(4), 1481–1509

Barr, David G., and Richard Priestley, 2004, “Expected Returns, Risk and the Integration of International Bond Markets,” Journal of International Money and Finance 23(1), 71–97

Bessembinder, Hendrik, 1992, “Systematic Risk, Hedging Pressure, and Risk Premiums in Futures Markets,” The Review of Financial Studies 5(4), 637–667

Binsbergen, Jules van, and Ralph S.J. Koijen, 2010, “Predictive Regressions: A Present-Value Approach,” The Journal of Finance 65(4), 1439–1471

Binsbergen, Jules van, Michael W. Brandt and Ralph S.J. Koijen, 2012, “On the Timing and Pricing of Dividends,” American Economic Review 102(4), 1596–1618

Binsbergen, Jules van, Wouter Hueskes, Ralph S.J. Koijen and Evert B. Vrugt, 2010, “Equity Yields,” Journal of Financial Economics 110(3), 503–519

Brunnermeier, Markus K., Stefan Nagel, and Lasse H. Pedersen, 2008, “Carry Trades and Currency Crashes,” NBER Macroeconomics Annual 23, 313–348

Brunnermeier, Markus .K. and Lasse H. Pedersen, 2009, “Market Liquidity and Funding Liquidity,” The Review of Financial Studies 22(6), 2201–2238

Burnside, Craig, Martin Eichenbaum, Isaac Kleshchelski and Sergio Rebelo, 2006, “The Returns to Currency Speculation,” working paper, National Bureau of Economic Research

Campbell, John Y., and John H. Cochrane, 1999, “By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior,” Journal of Political Economy 107(2), 205–251

Campbell, John Y., and Robert J. Shiller, 1991, “Yield Spreads and Interest Rates: A Bird’s Eye View,” Review of Economic Studies 58(3), 495–514

Casassus, Jaime, and Pierre Collin-Dufresne, 2005, “Stochastic Convenience Yield Implied From Commodity Futures and Interest Rates,” The Journal of Finance 60(5), 2283–2331

Chan, Louis K. C., Yasushi Hamao and Josef Lakonishok, 1991, “Fundamentals and Stock Returns in Japan,” The Journal of Finance 46(5), 1739–1764

Cochrane, John H., 2011, “Discount Rates,” The Journal of Finance 66(4), 1047–1108

Engel, Charles, 1996, “The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence,” Journal of Empirical Finance 3(2), 123–192

Erb, Claude B., and Campbell R. Harvey, 2006, “The Strategic and Tactical Value of Commodity Futures,” Financial Analysts Journal 62(2), 69–97

Fama, Eugene F., 1984, “Forward and Spot Exchange Rates,” Journal of Monetary Economics 14(3), 319–338

Fama, Eugene F., and Robert H. Bliss, 1987, “The Information in Long-Maturity Forward Rates,” American Economic Review 77(4), 680–692

Fama, Eugene F., and Kenneth R. French, 1987, “Commodity Futures Prices: Some Evidence on Forecast Power, Premiums and the Theory of Storage,” The Journal of Business 60(1), 55–73

Fama, Eugene F., and Kenneth R. French, 1988, “Dividend Yields and Expected Stock Returns,” Journal of Financial Economics 22(1), 3–27

Fama, Eugene F., and Kenneth R. French, 1998, “Value Versus Growth: The International Evidence,” The Journal of Finance 53(6), 1975–1999

Fama, Eugene F., and Kenneth R. French, 2011, “Size, Value and Momentum in International Stock Returns,” Journal of Financial Economics 105(3), 457–472

Farhi, Emmanuel, and Xavier Gabaix, 2008, “Rare Disasters and Exchange Rates,” working paper, National Bureau of Economic Research

Frazzini, Andrea, and Lasse Heje Pedersen, 2012, “Embedded Leverage,” working paper, AQR Capital Management and New York University

Froot, Kenneth A., and Richard H. Thaler, 1990, “Anomalies: Foreign Exchange,” Journal of Economic Perspectives 4(3), 179–192

Gabaix, Xavier, 2012, “Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance,” The Quarterly Journal of Economics 127(2), 645–700

Gârleanu, Nicolae, and Lasse Heje Pedersen, 2011, “Margin-Based Asset Pricing and Deviations from the Law of One Price,” The Review of Financial Studies 24(6), 1980–2022

Gorton, Gary B., Fumio Hayashi and K. Geert Rouwenhorst, 2013, “The Fundamentals of Commodity Futures Returns,” The Review of Finance 17(1), 35–105

Griffin, John M., 2002, “Are the Fama and French Factors Global or Country Specific?” The Review of Financial Studies 15(3), 783–803

Griffin, John M., Xiuqing Ji, and J. Spencer Martin, 2003, “Momentum Investing and Business Cycle Risk: Evidence From Pole to Pole,” The Journal of Finance 58(6), 2515–2547

Hansen, Lars Peter, and Ravi Jagannathan, 1997, “Assessing Specific Errors in Stochastic Discount Factor Models,” The Journal of Finance 52(2), 557–590

Hong, Harrison, and Mothiro Yogo, 2010, “What Does Futures Market Interest Tell Us About the Macroeconomy and Asset Prices?” Journal of Financial Economics 105(3), 473–490

Hou, Kewei, G. Andrew Karolyi, and Bong-Chan Kho, 2010, “What Factors Drive Global Stock Returns?” The Review of Financial Studies 24(8), 2527–2574

Ilmanen, Antti, 1995, “Time-Varying Expected Returns in International Bond Markets,” The Journal of Finance 50(2), 481–506

Ilmanen, Antti, 2011, Expected Returns (John Wiley: Chichester, England)

Koijen, Ralph S.J., and Stijn Van Nieuwerburgh, 2011, “Predictability of Stock Returns and Cash Flows,” Annual Review of Financial Economics 3, 467–491

Lewis, Karen K., 1995, “Puzzles in International Financial Markets,” in Gene M. Grossman and Kenneth Rogoff, eds.: Handbook of International Economics, vol. 3 (North Holland: Amsterdam)

Lucas, Robert E., 1978, “Asset Prices in an Exchange Economy,” Econometrica 46(6), 1429–1445

Lustig, Hanno, Nicholas Roussanov and Adrien Verdelhan, 2014, “Countercyclical Currency Risk Premia,” Journal of Financial Economics 111(3), 527–553

Lustig, Hanno, and Adrien Verdelhan, 2007, “The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk,” American Economic Review 97(1), 89–117

Meese, Richard A., 1983, “Empirical Exchange Rate Models of the Seventies: Do They Fit Out of Sample?” Journal of International Economics 14(1–2), 3–24

Moskowitz, Tobias J., Yao Hua Ooi and Lasse Heje Pedersen, 2012, “Time Series Momentum,” Journal of Financial Economics 104(2), 228–250

Pastor, Lubos, and Robert F. Stambaugh, 2003, “Liquidity Risk and Expected Stock Returns,” Journal of Political Economy 111(3), 642–685

Rouwenhorst, K. Geert, 1998, “International Momentum Strategies,” The Journal of Finance 53(1), 267–284

Szymanowska, Marta, Frans de Roon, Theo Nijman and Rob van den Goorbergh, 2014, “An Anatomy of Commodity Futures Risk Premia,” The Journal of Finance 69(1), 453–482

Tang, Ke, and Wei Xiong, 2012, “Index Investment and Financialization of Commodities,” Financial Analysts Journal 68(5), 54–74

Wachter, Jessica A., 2013, “Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?” The Journal of Finance 68(3), 987–1035

Yang, Fan, 2011, “Investment Shocks and the Commodity Basis Spread,” Journal of Financial Economics 110(1), 164–184

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