Claremont McKenna College and Claremont Graduate School. Arthur D. Warga, Douglas Joines, and Thomas D. Willett offered helpful comments, and Ning-Ning Koo provided research assistance.
Beating the Foreign Exchange Market
Article first published online: 30 APR 2012
1986 The American Finance Association
The Journal of Finance
Volume 41, Issue 1, pages 163–182, March 1986
How to Cite
SWEENEY, R. J. (1986), Beating the Foreign Exchange Market. The Journal of Finance, 41: 163–182. doi: 10.1111/j.1540-6261.1986.tb04497.x
- Issue published online: 30 APR 2012
- Article first published online: 30 APR 2012
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.