Currency Momentum Strategies

By Lukas Menkhoff, Lucio Sarno, Maik Schmeling, A. Schrimpf. 2012

482 citations recorded by the source corpus.

Subfields: Accounting, Finance

View Paper: https://www.semanticscholar.org/paper/38bff2cded6bf180eef9925ec0bd1dbc56601c70

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

1. Amit Goyal
2. Narasimhan Jegadeesh
3. Jay R. Ritter
4. Camila C. Pereira
5. L. Smales

In Finance

1. Amit Goyal
2. Narasimhan Jegadeesh
3. Jay R. Ritter
4. Lu Zhang
5. Turan G. Bali
6. Hui Guo
7. Camila C. Pereira
8. Christian Lundblad

Citations in the corpus

• Volatility Risk Premia and Exchange Rate Predictability (2016, unknown): “To mitigate this concern, we follow Menkhoff et al. (2012b) and select the currencies for which the financial openess index of Chinn and Ito (2006) index —a measure of a country’s degree of capital account openness —is greater than or equal to zero.”
• Cross-Sectional and Time-Series Tests of Return Predictability: What Is the Difference? (2018, background): “For example, see Chan, Hameed, and Tong (2000), Menkhoff et al. (2012), and Asness, Moskowitz, and Pedersen (2013).”