This paper sheds new light on a long-standing puzzle in the international finance literature, namely, that exchange rate expectations appear inaccurate and even irrational. We find for a comprehensive dataset that individual forecasters' performance is skill-based. 'Superior' forecasters show...

This paper examines the puzzlingly high unexploited momentum returns from a new perspective. We analyze characteristics of momentum traders in a sample of 692 fund managers. We find that momentum traders are 'defined' by their short-term horizon, by a behavioural view on the market and by a...

The use of technical analysis by financial market professionals is not well understood. This paper thus analyzes survey evidence from 692 fund managers in five countries, the vast majority of whom rely on technical analysis. At a forecasting horizon of weeks, technical analysis is the most...

This paper sheds new light on a long-standing puzzle in the international finance literature, namely, that exchange rate expectations appear inaccurate and even irrational. We find for a comprehensive dataset that individual forecasters' performance is skill-based. 'Superior' forecasters show...

The use of technical analysis by financial market professionals is not well understood. This paper thus analyzes survey evidence from 692 fund managers in five countries, the vast majority of whom rely on technical analysis. At a forecasting horizon of weeks, technical analysis is the most...

This paper examines the puzzlingly high unexploited momentum returns from a new perspective. We analyze characteristics of momentum traders in a sample of 692 fund managers. We find that momentum traders are 'defined' by their short-term horizon, by a behavioural view on the market and by a...

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,...