| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w14597 |
| 来源ID | Working Paper 14597 |
| Predictability and 'Good Deals' in Currency Markets | |
| Richard M. Levich; Valerio Poti | |
| 发表日期 | 2008-12-18 |
| 出版年 | 2008 |
| 语种 | 英语 |
| 摘要 | This paper studies predictability of currency returns over the period 1971-2006. To assess the economic significance of currency predictability, we construct an upper bound on the explanatory power of predictive regressions. The upper bound is motivated by "no good-deal" restrictions that rule out unduly attractive investment opportunities. We find evidence that predictability often exceeds this bound. Excess-predictability is highest in the 1970s and tends to decrease over time, but it is still present in the final part of the sample period. Moreover, periods of high and low predictability tend to alternate. These stylized facts pose a challenge to Fama's (1970) Efficient Market Hypothesis but are consistent with Lo's (2004) Adaptive Market Hypothesis, coupled with slow convergence towards efficient markets. Strategies that attempt to exploit daily excess-predictability are very sensitive to transaction costs but those that exploit monthly predictability remain attractive even after realistic levels of transaction costs are taken into account and are not spanned by either the Fama and French (1993) equity-based factors or the AFX Currency Management Index. |
| 主题 | International Economics ; International Finance ; Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w14597 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/572270 |
| 推荐引用方式 GB/T 7714 | Richard M. Levich,Valerio Poti. Predictability and 'Good Deals' in Currency Markets. 2008. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w14597.pdf（445KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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