Journal of Financial Economics·Volume 127, Issue 2·February 2018
持有
作者：Ralph S.J.Koijen（Stern School of Business, New York University; NBER; CEPR）
Tobias J.Moskowitz（Yale School of Management; NBER; AQR Capital Management）
Lasse Heje Pedersen（Stern School of Business, New York University; Copenhagen Business School; CEPR; AQR Capital Management）
Evert B.Vrugt（School of Business and Economics, Vrije Universiteit Amsterdam）
摘要：我们把在货币市场上研究得很透彻的“持有”这一概念应用于任何资产。证券的预期回报率被分解为它的“持有”（一个事前的、无模型的特征）和它预期的价格升值。“持有”可预测许多不同的资产类别的跨部门和时间序列的回报，包括全球股票、全球债券、大宗商品、美国国库券、信贷和期权。“持有”不是由这些资产类别的已知收益预测因子来解释的，相反它捕捉了许多这些预测因子，为回报可预测性提供了一个统一的框架。我们没有用普遍使用的“无抛补的利率平价”和“期望假说”模型，转而采用风险溢价不同的模型，这些模型中“持有”策略通常面临全球经济衰退、流动性和波动风险，尽管没有任何因素能够充分解释持有的溢价。
关键词：套息交易，可预测性，股票，债券，货币，商品，公司债券，期权，流动性风险，波动风险
Carry
Ralph S.J.Koijen（Stern School of Business, New York University; NBER; CEPR）
Tobias J.Moskowitz（Yale School of Management; NBER; AQR Capital Management）
Lasse Heje Pedersen（Stern School of Business, New York University; Copenhagen Business School; CEPR; AQR Capital Management）
Evert B.Vrugt（School of Business and Economics, Vrije Universiteit Amsterdam）
ABSTRACT
We apply the concept of carry, which has been studied almost exclusively in currency markets, to any asset. A security’s expected return is decomposed into its “carry,” an ex-ante and model-free characteristic, and its expected price appreciation. Carry predicts returns cross-sectionally and in time series for a host of different asset classes, including global equities, global bonds, commodities, US Treasuries, credit, and options. Carry is not explained by known predictors of returns from these asset classes, and it captures many of these predictors, providing a unifying framework for return predictability. We reject a generalized version of Uncovered Interest Parity and the Expectations Hypothesis in favor of models with varying risk premia, in which carry strategies are commonly exposed to global recession, liquidity, and volatility risks, though none fully explains carry’s premium.
Keywords：Carry trade, Predictability, Stocks, Bonds, Currencies, Commodities, Corporate Bonds, Options, Liquidity risk, Volatility risk
原文链接：https://www.sciencedirect.com/science/article/pii/S0304405X17302908#!
翻译：何杉
