Do Momentum-Based Strategies Still Work in Foreign Currency Markets?

By J. Okunev, Derek White. Journal of Financial and Quantitative Analysis, 2003

307 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/67e2aa6b41ac1052b535f552c4439d60ee82c25e

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Citations in the corpus

Momentum has its moments (2015, background): “…for international evidence, Asness, Liew, and Stevens (1997) for country stock indices, Moskowitz and Grinblatt (1999) for industry portfolios, Okunev and White (2003) and Menkhof, Sarno, Schmeling, and Schrimpf (2012) for currency markets, Erb and Harvey (2006) for commodities, and Asness,…”
MOMENTUM RETURNS IN AUSTRALIAN EQUITIES: THE INFLUENCES OF SIZE, RISK, LIQUIDITY AND RETURN COMPUTATION (2004, background): “2 See for example Stevenson (2002) for real estate securities, Okunev and White (2003) for foreign currencies and Taylor (1998) for commodities.”
Beyond the Carry Trade: Optimal Currency Portfolios (2015, background): “Okunev and White (2003), Burnside, Eichenbaum and Rebelo (2011), and Menkho¤, Sarno, Schmeling, and Schrimpf (2012b) all document the presence of momentum in currency markets.”
Carry Trade and Momentum in Currency Markets (2011, background): “These authors include Okunev and White (2003), Lustig et al. (2009), Menkho! et al. (2011a, 2011b), Moskowitz et al. (2010), Ra!erty (2010), and Asness et al. (2009).”
Momentum Crashes (2010, unknown): “Momentum is also present outside of equities: Okunev and White (2003) ﬁnd momentum in currencies; Erb and Harvey (2006) in commodities; Moskowitz, Ooi, and Pedersen (2010) in exchange traded futures contracts; and Asness, Moskowitz, and Pedersen (2008) in bonds.”
The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis (2007, background): “…is also a characteristic of fundamentalsbased exchange rate models (Cheung, Chinn and Garcia Pascual, 2005 ). related issue of support and resistance levels (De Grauwe and Decupere, 1992; Curcio and Goodhart, 1992; Osler, 2000, 2003, 2005) or of momentum-based strategies (Okunev and White, 2003).”
Currency Momentum Strategies (2012, unknown): “markets as it shows up in stocks (Jegadeesh and Titman, 1993, 2001), foreign exchange markets (Okunev and White, 2003; Asness, Moskowitz, and Pedersen, 2009), and (corporate) bonds (Jostova, Nikolova, Philipov, and Stahel, 2010).”
Institutional Investors, Past Performance, and Dynamic Loss Aversion (2009, background): “We consider a host of explanations, including currency hedging activity, margin and capital constraints, stop-loss trading (Osier (2003)), momentum trading, managerial compensation and reputation concerns (Chevalier and Ellison (1997)), and the disposition effect (Odean (1998)), but find evidence su”