Is currency momentum

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This article investigates the potential link between momentum in currency returns and global

economic risk as measured by currency return dispersion (RD). We find that the spread on zerocost

currency momentum strategies is larger and highly significant in high RD states compared

to low RD states. Also, the relation between these momentum payoffs and global economic risk

appears to increase linearly in risk. Further tests indicate that the same macroeconomic risk

component in currency markets is present in global equity markets. Based on this evidence, we

conclude that global economic risk as proxied by RD helps to explain currency momentum

profits.

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关键词：Momentum currency moment curr Ency currency