IDEAS home Printed from https://ideas.repec.org/a/mes/emfitr/v56y2020i1p126-148.html
   My bibliography  Save this article

Puzzling Premiums on FX Markets: Carry Trade, Momentum, and Value Alone and Strategy Diversification

Author

Listed:
  • Evgeniya Mikova
  • Tamara Teplova
  • Qaiser Munir

Abstract

We construct and compare the results of exploiting individual investment strategies: carry trade, momentum, and value and estimate the benefits from strategy diversification. Our analysis is based on the set of 10 major currencies and the expanded sample additionally including 16 emerging market currencies. We implement strategies in FX markets against the ruble instead of the US dollar, as is common in the currency literature. We find that the performance of strategies varies with the change of the ruble regime. We also provide proof that combining strategies, based on volatility, offers significant improvement in risk-adjusted returns compared to either of the two strategies independently or to benchmarks.

Suggested Citation

  • Evgeniya Mikova & Tamara Teplova & Qaiser Munir, 2020. "Puzzling Premiums on FX Markets: Carry Trade, Momentum, and Value Alone and Strategy Diversification," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 56(1), pages 126-148, January.
    • Handle: RePEc:mes:emfitr:v:56:y:2020:i:1:p:126-148
    DOI: 10.1080/1540496X.2018.1562897
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/1540496X.2018.1562897
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/1540496X.2018.1562897?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:mes:emfitr:v:56:y:2020:i:1:p:126-148. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/MREE20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.