Currency Momentum: An Emerging Market Issue?
Three main currency strategies have been established in the literature: carry, value, and momentum. We investigate momentum using data on 27 currencies (10 developed countries and 17 emerging markets). We find that momentum returns are driven by emerging market currencies, while the currencies of de...
| Published in: | ACRN Journal of Finance and Risk Perspectives |
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| Main Authors: | , |
| Format: | Article |
| Language: | English |
| Published: |
ACRN Publishing
2023-03-01
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| Subjects: | |
| Online Access: | https://www.acrn-journals.eu/resources/jofrp11g.pdf |