NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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The Carry Trade: Risks and Drawdowns

Kent Daniel, Robert J. Hodrick, Zhongjin Lu

NBER Working Paper No. 20433
Issued in August 2014

---- Acknowledgments ----

This research was supported by a grant from the Network for Study on Pensions, Aging, and Retirement to the Columbia Business School. We especially thank Pierre Collin-Dufresne for many substantive early discussions that were fundamental to the development of the paper. We also thank Elessar Chen for his research assistance. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

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