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Welcome to the 2017 AFS Annual Meeing, being held this year, in conjunction with FPA in Nashville!
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Monday, October 2 • 10:45am - 11:45am
G4b Does Momentum Behave like Stock Market?

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This paper investigates the momentum strategy of currency using 66 cross-currency exchange rates from spanning period of December 1984 to December 2015. We follow the approach from Daniel and Moskowitz (2016) paper to investigate the source of the momentum returns. Our finding, however, shows that the (i) unlike stock market, out sample does not behave as it is predicted by Daniel and Moskowitz (2016) result, (ii) the loser portfolio, however, acts the same way as it does in stock market, and (iii) the source of returns from WML is mainly from loser portfolio rather winner portfolio.

Author(s): Phuvadon Wuthisatian, Hasib Ahmed


Phuvadon Wuthisatian

Ph.D. Candidate and Teaching Associate, University of New Orleans
Research: Investments, International Finance, Asset Pricing Models, Market Microstructure, Financial Market, Emerging Market and Financial Development.

Monday October 2, 2017 10:45am - 11:45am

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