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Can risk explain the profitability of technical trading in currency markets?
16 references·2 citing·33 second hopsampled
Can risk explain the profitability of technical trading in currency markets? (2020)Can risk explain the profitability of tec…Carry Trades and Global Foreign Exchange Volatility (2012)Carry Trades and Global Forei…Currency Momentum Strategies (2011)Currency Momentum StrategiesCommon Risk Factors in Currency Markets (2011)Common Risk Factors in Curren…WHAT DO WE KNOW ABOUT THE PROFITABILITY OF TECHNICAL ANALYSIS? (2007)WHAT DO WE KNOW ABOUT THE PRO…The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk (2006)The Cross Section of Foreign …Downside Risk (2006)Downside RiskA Consumption‐Based Explanation of Expected Stock Returns (2006)A Consumption‐Based Explanati…The Adaptive Markets Hypothesis (2004)The Adaptive Markets Hypothes…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach (1997)Is Technical Analysis in the …The Limits of Arbitrage (1995)The Limits of ArbitrageReturns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The use of technical analysis in the foreign exchange market (1992)The use of technical analysis…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Trading the Foreign Exchange Market with Technical Analysis and Bayesian Statistics (2017)Trading the Foreign Exchange …Peer Pressure: Social Interaction and the Disposition Effect (2016)Peer Pressure: Social Interac…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)The General Theory of Employment, Interest and Money. (1936)The General Theory of Employment, Interest and Money. (1936)Empirical exchange rate models of the seventies (1983)Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap (1999)The Economics of Exchange Rates (2003)Why is it so difficult to beat the random walk forecast of exchange rates? (2003)The Behavior of Stock-Market Prices (1965)A model of investor sentiment / (1997)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Market Liquidity and Funding Liquidity (2008)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Does the Stock Market Overreact? (1985)Multifactor Explanations of Asset Pricing Anomalies (1996)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! The challenges and opportunities of Social Media (2009)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Institutional Investors and the Informational Efficiency of Prices (2009)Sustainable Development and Financial Markets (2015)Machine learning techniques and data for stock market forecasting: A literature review (2022)A Theory of the Term Structure of Interest Rates (1985)Presidential Address: Discount Rates (2011)Climate Risks and Market Efficiency (2016)Risks and Returns of Cryptocurrency (2018)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)… and the Cross-Section of Expected Returns (2015)Replicating Anomalies (2018)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*24,470 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1995The Limits of Arbitrage5,282 cited
  • 2004The Adaptive Markets Hypothesis1,846 cited
  • 2011Common Risk Factors in Currency Markets1,102 cited
  • 1992The use of technical analysis in the foreign exchange market1,071 cited
  • 2006Downside Risk1,039 cited
  • 2012Carry Trades and Global Foreign Exchange Volatility925 cited
  • 2006A Consumption‐Based Explanation of Expected Stock Returns653 cited
  • 1997Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach641 cited
  • 2007WHAT DO WE KNOW ABOUT THE PROFITABILITY OF TECHNICAL ANALYSIS?609 cited
  • 2006The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk592 cited
  • 2011

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Currency Momentum Strategies
534 cited

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  • 2016Peer Pressure: Social Interaction and the Disposition Effect324 cited
  • 2017Trading the Foreign Exchange Market with Technical Analysis and Bayesian Statistics17 cited