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Beating the Foreign Exchange Market
Abstract
Filter rule profits found in foreign exchange markets in the early days of the current managed float persist in later periods, as shown by statistical tests developed and implemented here. The test is consistent with, but independent of, a wide variety of asset pricing models. The profits found cannot be explained by risk if risk premia are constant over time. Inclusion of the home‐foreign interest rate differential in computing profits has little effect on the comparison of filter returns to those of buy‐and‐hold.
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Citations
Cited by
Data-snooping, technical trading rule performance and the Bootstrap
Sullivan, R., Timmermann, A., & White, H. (1999) · The Journal of Finance · doi:10.1111/0022-1082.00163 · Cited by 1,028
Menkhoff, L., Sarno, L., Schmeling, M., & Schrimpf, A. (2012) · Journal of Financial Economics · doi:10.1016/j.jfineco.2012.06.009 · Cited by 518
Technical trading rule profitability and foreign exchange intervention
LeBaron, B. (1999) · Journal of International Economics · doi:10.1016/s0022-1996(98)00061-0 · Cited by 390
Market efficiency and the returns to technical analysis
Bessembinder, H., & Chan, K. (1998) · Financial Management · doi:10.2307/3666289 · Cited by 324
The profitability of technical trading rules in the Asian stock markets
Bessembinder, H., & Chan, K. (1995) · Pacific-Basin Finance Journal · doi:10.1016/0927-538x(95)00002-3 · Cited by 324
Metadata
- Authors
- SWEENEY, R. J.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 1986-03
- Volume
- 41
- Issue
- 1
- Pages
- 163-182
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W2070891096
- Cited by
- 450
- References
- 0
- FWCI
- 13.55
- Type
- journal article
- Language
- en
- Open access
- closed
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- SWEENEY, R. J. (1986). Beating the Foreign Exchange Market. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.1986.tb04497.x
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
