G2TT
来源类型Discussion paper
规范类型论文
来源IDDP15653
DP15653 Currency Anomalies
Söhnke Bartram; Leslie Djuranovik; Anthony Garratt
发表日期2021-01-08
出版年2021
语种英语
摘要This paper is the first to study the cross-section of currency excess return predictors to explore alternative explanations for their existence. Using real-time data, quantitative currency trading strategies are profitable during in-sample and out-of-sample periods, even after transaction costs and comprehensive risk adjustments. However, (risk-adjusted) profits decrease substantially after the publication of the underlying academic research. In line with predictor profits reflecting mispricing, the decline is greater for strategies with larger in-sample profits and lower arbitrage costs. Moreover, the effect of risk adjustments on trading profits is limited, and signal ranks and performance decay quickly. While analysts’ currency forecasts are inconsistent with currency predictors, analysts update their forecasts quickly to incorporate lagged predictor information. The results suggest that market participants learn about mispricing from academic publications, while contributing to it when following analysts’ forecasts.
主题Financial Economics ; International Macroeconomics and Finance
关键词Exchange rates Predictors Anomalies Mispricing Analysts Market efficiency Real-time Arbitrage costs Ipca Instrumented principal components analysis
URLhttps://cepr.org/publications/dp15653-7
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/544665
推荐引用方式
GB/T 7714
Söhnke Bartram,Leslie Djuranovik,Anthony Garratt. DP15653 Currency Anomalies. 2021.
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