publication . Article . 1986

Beating the Foreign Exchange Market

RICHARD J. SWEENEY;
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  • Published: 01 Jan 1986 Journal: The Journal of Finance, volume 41, page 163 (issn: 0022-1082, Copyright policy)
  • Publisher: JSTOR
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. IN THE EARLY YEARS of the generalized managed floating that began in March 1973, filter rule profits in excess of buy-and-hold were found for many co...
Subjects
free text keywords: Economics and Econometrics, Accounting, Finance, Interest rate parity, Rate of return, Economics, Capital asset pricing model, business.industry, business, Intertemporal CAPM, Exchange rate, Arbitrage pricing theory, Foreign exchange market, Risk premium, Financial economics
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