Using a comprehensive high-frequency foreign exchange dataset, we present evidence of time-of-day effects in foreign exchange returns through a significant tendency for currencies to depreciate during local trading hours. We confirm this pattern across a range of currencies and time zones. We...

In this paper, we study the effectiveness of carry trade strategies during and after the financial crisis using a flexible approach to modeling currency returns. We decompose the currency returns into multiplicative sign and absolute return components, which exhibit much greater predictability...

The yen carry trade between the US and Japan has existed as a feasible investment strategy in direct violation of the uncovered interest parity (UIP) condition. Using yen-dollar spot and forward exchange rate data from 1993 thorough 2007, I demonstrate that the forward exchange rate quoted in...