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Currency momentum strategies

Menkhoff, Lukas; Sarno, Lucio; Schmeling, Maik; … - 2012

Persistent link: https://www.econbiz.de/10009502371

Currency momentum strategies

Menkhoff, Lukas; Sarno, Lucio; Schmeling, Maik; … - 2011

Persistent link: https://www.econbiz.de/10009536947

Currency Momentum Strategies

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...

Persistent link: https://www.econbiz.de/10010540687

Currency Momentum Strategies

Menkhoff, Lukas; Sarno, Lucio; Schmeling, Maik; … - Bank for International Settlements (BIS) - 2011

We provide a broad empirical investigation of momentum strategies in the foreign exchange market. We find a signiffcant 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,...

Persistent link: https://www.econbiz.de/10009395213

Currency momentum strategies

Menkhoff, Lukas; Sarno, Lucio; Schmeling, Maik; … - In: Journal of Financial Economics 106 (2012) 3, pp. 660-684

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% per annum (p.a.) between past winner and loser currencies. This spread in excess returns is not explained by traditional...

Persistent link: https://www.econbiz.de/10010587981

Currency Momentum Strategies

Menkhoff, Lukas; Sarno, Lucio; Schmeling, Maik; … - C.E.P.R. Discussion Papers - 2012

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,...

Persistent link: https://www.econbiz.de/10011083372

Profitability and stability in international currency markets

Bilson, John F. - 1981

Persistent link: https://www.econbiz.de/10009566830

Currency Momentum Strategies

Menkhoff, Lukas - 2014

Persistent link: https://www.econbiz.de/10013067006

Investor Sentiment, Attention and Profitability of Currency Momentum Strategies

Maryniak, Paweł - 2016

Paper analyzes the relationship between the profitability of currency momentum strategy and its potential sources – investor sentiment and investor attention. Evidence supporting the existence of relationship between investor sentiment and currency momentum is presented. It seems that this...

Persistent link: https://www.econbiz.de/10012980134

Profitability and Stability in International Currency Markets

Bilson, John F. O. - 2021

future spot exchange rates. This result implies that there have been opportunities for speculative profit during the post … existence of opportunities for speculative profit is explored. The question answered in the paper is the following: if there … were no opportunities for speculative profit, would exchange rates have been more stable? The answer is yes. This answer …

Persistent link: https://www.econbiz.de/10013231440

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