Currency momentum strategies

• 成果类型: Article
• 署名作者: Menkhoff, Lukas; Sarno, Lucio; Schmeling, Maik; Schrimpf, Andreas
• 署名单位: City St Georges, University of London; Leibniz University Hannover; Singapore Management University; Centre for Economic Policy Research - UK; Bank for International Settlements (BIS)
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2012.06.009
• 发表日期: 2012
• 页码: 660-684
• 关键词: Momentum returns; Limits to arbitrage; idiosyncratic volatility; Carry trades

摘要

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 risk factors, it is partially explained by transaction costs and shows behavior consistent with investor under- and overreaction. Moreover, cross-sectional currency momentum has very different properties from the widely studied carry trade and is not highly correlated with returns of benchmark technical trading rules. However, there seem to be very effective limits to arbitrage that prevent momentum returns from being easily exploitable in currency markets. (C) 2012 Elsevier BM. All rights reserved.