| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9852 |
| DP9852 Out-of-Sample Evidence on the Returns to Currency Trading | |
| Olivier Accominotti; David Chambers | |
| 发表日期 | 2014-03-02 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | We document the existence of excess returns to naïve currency trading strategies during the emergence of the modern foreign exchange market in the 1920s and 1930s. This era of active currency speculation constitutes a natural out-of-sample test of the performance of carry, momentum and value strategies well documented in the modern era. We find that the positive carry and momentum returns in currencies over the last thirty years are also present in this earlier period. In contrast, the returns to a simple value strategy are negative. In addition, we benchmark the rules-based carry and momentum strategies against the discretionary strategy of an informed currency trader: John Maynard Keynes. The fact that the strategies outperformed a superior trader such as Keynes underscores the outsized nature of their returns. Our findings are robust to controlling for transaction costs and, similar to today, are in part explained by the limits to arbitrage experienced by contemporary currency traders. |
| 主题 | Economic History ; Financial Economics ; International Macroeconomics |
| 关键词 | Carry trade Currency trading strategies Keynes Momentum Value |
| URL | https://cepr.org/publications/dp9852 |
| 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/538686 |
| 推荐引用方式 GB/T 7714 | Olivier Accominotti,David Chambers. DP9852 Out-of-Sample Evidence on the Returns to Currency Trading. 2014. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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