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Paper analyzes the relationship between the profitability of currency momentum strategy and its potential sources … for this relationship can magnify its profitability. Investor attention also seems to have an impact on the profitability …
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the observed momentum profitability. Furthermore, we find that momentum profitability is stronger with longer formation …
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The forward premium anomaly has served as the theoretical foundation of positive returns from currency speculation. Nonlinearity in the relation of currency returns and interest rate differentials should be included in speculator expectations. Within narrow ranges, the counteracting effects of...
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