Dissecting currency momentum

• 成果类型: Article
• 署名作者: Zhang, Shaojun
• 署名单位: University System of Ohio; Ohio State University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.05.035
• 发表日期: 2022
• 页码: 154-173
• 关键词: Factor; asset pricing; momentum; currency premium; market efficiency

摘要

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 factor returns and short them following losses. Carry and dollar factors are strongly autocorrelated and only earn significantly positive excess returns following positive factor returns. By contrast, idiosyncratic currency returns contain little momentum. Consequently, factor momentum not only outperforms the cross-sectional and time series momentum but also explains them. Limits to arbitrage and time-varying risk premium help explain factor momentum. (c) 2021 Elsevier B.V. All rights reserved.