Carry Returns is the excess return generated from holding a commodity futures contract over time, excluding price changes, derived from the difference between the financing cost and the implied yield or roll yield embedded in the futures curve.
82
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140
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134
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2017–2026
17
Parents
Publications
82
Theory of the Inverse Carrying Charge in Futures Markets
Holbrook Working · Journal of Farm Economics · 1948 · 333 citations
Ralph S. J. Koijen, Tobias J. Moskowitz, Lasse Heje Pedersen et al. · Journal of Financial Economics · 2017 · 293 citations · Full text
Carry Trades and Currency Crashes
Markus K. Brunnermeier, Stefan Nagel, Lasse Heje Pedersen · NBER Macroeconomics Annual · 2008 · 201 citations · Full text
1–5 of 82
Authors
140
- GB
5
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- RM
4
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- MP
4
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3
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- KD
3
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1–5 of 140
Institutions
134
National Bureau of Economic Research
Cambridge, United States
7 h-index
12 publications
830 citations
New York University
New York, United States
5 h-index
6 publications
661 citations
University of Hong Kong
Pok Fu Lam, Hong Kong
4 h-index
4 publications
109 citations
City, University of London
London, United Kingdom
4 h-index
8 publications
195 citations
Columbia University
New York, United States
4 h-index
7 publications
184 citations
Bank for International Settlements
Basel, Switzerland
4 h-index
4 publications
191 citations
Cardiff University
Cardiff, United Kingdom
4 h-index
4 publications
189 citations
University of Georgia
Athens, United States
3 h-index
5 publications
162 citations
1–8 of 134
Venues
- SSRN Electronic Journal
Repository · 19 publications · 705 citations
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- Journal of International Money and Finance
6 publications · 286 citations
6
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- Journal of Banking & Finance
5 publications · 336 citations
5
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- Journal of Futures Markets
5 publications · 175 citations
5
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- Journal of International Financial Markets Institutions and Money
4 publications · 192 citations
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