Currency momentum strategies uncovered: BIS paper


Authors Lukas Menkhoff, Lucio Sarno, Maik Schmeling and Andreas Schrimpf provide a broad empirical investigation of momentum strategies in the foreign exchange market in a new Bank for International Settlements working paper.

The researchers find a significant cross-sectional spread in excess returns of up to 10% a year 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

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