Return dispersion risk in FX and global equity markets: Does it explain currency momentum?
Sign Up to like & getrecommendations! Published in 2018 at "International Review of Financial Analysis"
DOI: 10.1016/j.irfa.2018.01.010
Abstract: Abstract We investigate the potential link between momentum in currency returns and global economic risk as measured by currency return dispersion (RD). Initial tests contribute to the exchange rate puzzle by showing that a common… read more here.
Keywords: risk; currency momentum; currency; return dispersion ... See more keywords
Dissecting Currency Momentum
Sign Up to like & getrecommendations! Published in 2021 at "Journal of Financial Economics"
DOI: 10.1016/j.jfineco.2021.05.035
Abstract: Abstract This paper shows the cross-sectional and time series momentum in currencies, which cannot be explained by carry and dollar factors, summarize the autocorrelation of these factors. These momentum strategies long currency factors following positive… read more here.
Keywords: time; currency; currency momentum; momentum ... See more keywords