Currency momentum strategies
Currency momentum strategies
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货币动量策略
DOI：
10.1016/j.jfineco.2012.06.009
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发表时间：
2012
影响因子：
8.9
通讯作者：
Menkhoff L
中科院分区：
文献类型：
--
作者：
Menkhoff L
我们对外汇市场的动量策略进行了广泛的实证研究。我们发现，过去的赢家货币和输家货币之间的超额回报率存在显着的横截面差异，每年高达 10%。这种超额收益的分布不能用传统的风险因素来解释，部分可以用交易成本来解释，并且表现出与投资者反应不足和过度反应一致的行为。此外，横截面货币动量与广泛研究的套利交易具有非常不同的属性，并且与基准技术交易规则的回报并不高度相关。然而，套利似乎存在非常有效的限制，阻止动量回报在货币市场上被轻易利用。
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.