The returns to carry-trades are controversially discussed. There seems to be no unifying risk-based explanation of currency returns and stock returns, while the countries’ interest rate differential plays a leading part in the carry-trade performance. Therefore, this paper addresses carry-trade returns from a risk-pricing perspective and examines if these returns can be connected to cross-country differences in risk pricing in the interest-rate market compared to the stock market. Data from Thomson Reuters Datastream and Federal Reserve Economic Data covering Australia, Japan, New Zealand, Switzerland and the United States were analyzed based on GMM estimation. The results indicate significant and persistent cross-country differences in risk aversion in the interest-rate market compared to the implied risk aversion in the stock market. This may offer opportunities for risk arbitrage and, therefore, a risk pricing-related explanation of carry-trade returns.

有争议的讨论套利交易的收益。似乎没有统一的基于风险的货币回报和股票回报解释，而这两个国家的利率差异在套利交易表现中起着主导作用。因此，本文从风险定价的角度探讨套利交易收益，并检验这些收益是否可以与利率市场相对于股票市场的风险定价的跨国差异相关联。根据GMM估算，分析了汤姆森路透社数据流和涵盖澳大利亚，日本，新西兰，瑞士和美国的美联储经济数据。结果表明，与股票市场中隐含的风险规避相比，利率市场中的风险规避具有明显且持久的跨国差异。