| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8747 |
| DP8747 Currency Momentum Strategies | |
| Lukas Menkhoff; LUCIO SARNO; Paul Schrimpf; Maik Schmeling | |
| 发表日期 | 2012 |
| 出版年 | 2012 |
| 语种 | 英语 |
| 摘要 | We provide a broad empirical investigation of momentum strategies in the foreign exchange market. We find a significant cross-sectional spread in excess returns of up to 10% p.a. between past winner and loser currencies. This spread in excess returns is not explained by traditional risk factors, it is partially explained by transaction costs and shows behavior consistent with investor under- and over-reaction. Moreover, cross-sectional currency momentum has very different properties from the widely studied carry trade and is not highly correlated with returns of benchmark technical trading rules. However, there seem to be very effective limits to arbitrage which prevent momentum returns from being easily exploitable in currency markets. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | Momentum returns Carry trades Idiosyncratic volatility Limits to arbitrage |
| URL | https://cepr.org/publications/dp8747 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/537583 |
| 推荐引用方式 GB/T 7714 | Lukas Menkhoff,LUCIO SARNO,Paul Schrimpf,et al. DP8747 Currency Momentum Strategies. 2012. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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