Currency momentum strategies

Journal of Financial Economics

Volumn 106, Issue 3, 2012, Pages 660-684

  Menkhoff, Lukas ^a   Sarno, Lucio ^b,c,d   Schmeling, Maik ^a   Schrimpf, Andreas ^e  

^a LEIBNIZ UNIVERSITY HANNOVER   (Germany)

^b CITY UNIVERSITY   (United Kingdom)

^c SINGAPORE MANAGEMENT UNIVERSITY   (Singapore)

^d CEPR   (United Kingdom)

^e BANK FOR INTERNATIONAL SETTLEMENTS   (Switzerland)

Author keywords

Carry trades; Idiosyncratic volatility; Limits to arbitrage; Momentum returns

Indexed keywords

EID: 84867853310     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jfineco.2012.06.009     Document Type: Article

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