Menkhoff, Lukas; Sarno, Lucio; Schmeling, Maik; … - Rimini Centre for Economic Analysis (RCEA) - 2012
We provide a broad empirical investigation of momentum strategies in foreign exchange markets. We find a signicant 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 and...