Do Peso Problems Explain the Returns to the Carry Trade?
研究了利差交易策略的收益特性，发现其平均回报高且与传统风险因子不相关，认为这反映了比索问题，即折现因子高值而非极端负收益。
We study the properties of the carry trade, a currency speculation strategy in which an investor borrows low-interest-rate currencies and lends high-interest-rate currencies. This strategy generates payoffs that are on average large and uncorrelated with traditional risk factors. We argue that these payoffs reflect a peso problem. The underlying peso event features high values of the stochastic discount factor rather than very large negative payoffs.