Economic momentum and currency returns

被引：31

作者：

Dahlquist, Magnus ^{[1
,2
]}

Hasseltoft, Henrik ^{[3
]}

机构：

[1] Stockholm Sch Econ, Drottninggatan 98, SE-11160 Stockholm, Sweden

[2] CEPR, London, England

[3] Lynx Asset Management, Box 7060, SE-10386 Stockholm, Sweden

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2020年 / 136卷 / 01期

关键词：

Carry trade; Foreign exchange rates; Predictability; Trend following; Trends; TIME PRICE DISCOVERY; CARRY TRADE; CONSUMPTION RISK; EXCHANGE-RATES; TERM STRUCTURE; CROSS-SECTION; PREMIA; PREDICTABILITY; SERIES; STOCK;

D O I：

10.1016/j.jfineco.2019.09.002

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Past trends in fundamentals linked to economic activity and inflation predict currency returns. We find that a trading strategy that goes long currencies with strong economic momentum and short currencies with weak economic momentum exhibits an annualized Sharpe ratio of 0.70 and yields a significant alpha when controlling for standard carry, momentum, and value strategies. The economic momentum strategy subsumes the alpha of carry trades, suggesting that differences in past economic trends capture cross-country differences in carry. (C) 2019 Elsevier B.V. All rights reserved.

引用

页码：152 / 167

页数：16

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