Home  |  Forex Research  |  Forex Education  |  Forex Articles   Forex Directory  |  Library  Forex Brokers  Forex Blog  Contact  
  Economic Calendar
  Currency Converter
  Real Time Charts
  Forex Rates
  Forex Video Reports
  Cryptocurrency Prices
  Forex Correlation    
  Overnight Swaps    
  Forex Market Hours    
  Elliott Wave Analysis  
  Forex Trading Signals
  Daily Forex Outlook 
  Daily Gold Analysis   
  Daily Forex Research
  Weekly Forex Research
  Live Forex Updates
  Central Banks News
  Latest Financial News
  Fixed Income Center
  Cryptocurrency News
  Commodities Center
  Stock Market Center  
  Fibonacci Calculator
  Pivot Point Calculator
  PIP Calculator
  Margin Calculator
  Profit Calculator
  Multitarget Calculator
  Position Size Calculator
  Risk & Reward Calculator
  Crypto Calculator





  Forex Articles & Studies
 Timing Foreign Exchange Markets
 Authors: Robert B. Gramacy. University of Chicago Booth School of Business
               Samuel W. Malone. University of the Andes School of Management 
               Enrique ter Horst. IESA
                                         Date: September 2012

Priced level, slope, and volatility risk factors recently proposed in the finance literature help explain long-standing puzzles related to the cross-section of carry trade returns. In this paper, we examine whether the information contained in these global factors allows foreign exchange market speculators in individual currencies to successfully time the direction of their carry trades, both when they can foresee the realizations of these factors one-month in advance, as in the classic exchange rate forecasting literature, and when they cannot. We find that, in stark contrast to most previous attempts to forecast monthly exchange rates, perfect foresight of these fundamentals confers statistically and economically significant market timing ability upon speculators. Conditional linear and nonparametric models based on these factors outperform the random walk. Without perfect foresight of these fundamentals, simple strategies based on the directional forecasts of conditional models still manage to outperform the random walk with respect to market timing statistics and realized Sharpe ratios for a large minority of currencies, especially when combined with information on global liquidity factors.

 Note: The Below File are in Adobe Acrobat PDF format,  please click here to download Adobe Acrobat Reader For Free.



        Home    |   Links    |    Free Content for your site    |   Privacy Policy & Risk Disclaimer    |  Contact                          Copyright © 2007 Forextradings.com , All rights reserved.


Forextradings.com Disclaimer: The information contained on this website is subject to change without notice, views and opinions expressed on forextradings.com may be those of individual authors and may not necessarily be the views of forextradings.com or its officers and employees, we make no claim to the accuracy or timeless of any information contained herein. We recommend obtaining advice from a suitably qualified financial advisor before entering into any financial transactions or agreements. The use of this website financial transactions or agreements. The use of this website constitutes acceptance of our privacy policy, disclaimer and terms of use. This website is available for information and educational purposes only.

Forextradings.com Risk Warning: Investors looking to trade foreign currencies should know that it is complex and takes expert knowledge and without this knowledge it's very risky. You may lose all your investments in a short time, don't risk more than you can afford to lose.