| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15653 |
| 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 |
| URL | https://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. |
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
