Quotation Mayer, Manuel. 2010. Forward Bias Trading in Emerging Markets. Financial Management Association (FMA), Hamburg, Deutschland, 09.06.-12.06.


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Abstract

This paper investigates the returns to forward bias trading in dynamic multi currency strategies in order to empirically assess the limits to speculation hypothesis in foreign exchange markets. The results suggest that bias trading strategies allow for economically significant excess returns, represent attractive diversification devices, and contain low downside risk. Furthermore, enriching carry trade portfolios with emerging market currencies results in large diversification gains. Overall, the findings are in line with the widespread use of bias trading strategies among market professionals and challenge the concept of limits to speculation as an explanation for the forward bias puzzle.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Paper presented at an academic conference or symposium
Language English
Title Forward Bias Trading in Emerging Markets
Event Financial Management Association (FMA)
Year 2010
Date 09.06.-12.06
Country Germany
Location Hamburg
URL http://www.fma.org/

Associations

People
Mayer, Manuel (Details)
Organization
Institute for Financial Research IN (Details)
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