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Individual Foreign Exchange Investors, Return Predictability And Market Timing

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  • MOUSTAFA ABUELFADL

    (School of Business, Ithaca College, 953 Donby Road, Ithaca, NY 14850, USA)

Abstract

This study tests whether individual foreign exchange (Forex) investors can predict future returns, time the market and generate alpha after transaction costs. Using a sample of 1,231 Forex trading accounts and 72,072 trades, the results show that individual Forex investors can predict future returns up to eight days after trade execution, even after controlling for Volatility. The results of return predictability are significant because they support the idea that linear independence is rejected as well as provide empirical evidence that private information is available in the foreign exchange market.

Suggested Citation

  • Moustafa Abuelfadl, 2017. "Individual Foreign Exchange Investors, Return Predictability And Market Timing," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 12(01), pages 1-28, March.
    • Handle: RePEc:wsi:afexxx:v:12:y:2017:i:01:n:s2010495217500014
    DOI: 10.1142/S2010495217500014
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    References listed on IDEAS

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    2. Xin Yang & Shigang Wen & Zhifeng Liu & Cai Li & Chuangxia Huang, 2019. "Dynamic Properties of Foreign Exchange Complex Network," Mathematics, MDPI, vol. 7(9), pages 1-19, September.

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