Beating the Foreign Exchange Market
作者:
RICHARD J. SWEENEY,
期刊:
The Journal of Finance
(WILEY Available online 1986)
卷期:
Volume 41,
issue 1
页码: 163-182
ISSN:0022-1082
年代: 1986
DOI:10.1111/j.1540-6261.1986.tb04497.x
出版商: Blackwell Publishing Ltd
数据来源: WILEY
摘要:
ABSTRACTFilter 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
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