Search Results for: Cross Sectional Return Dispersion And Currency Momentum

I assess the relation between cross-sectional return dispersion in foreign exchange (FX) markets and currency momentum. I find that cross-sectional dispersion i

This study employs option-price data to back out the implied cross-sectional return variance in the G10 currencies. It investigates the relation of implied cros

We find that the market's recent cross-sectional dispersion in stock returns is positively related to the subsequent value book-to-market premium and negatively

"We provide a broad empirical investigation of momentum strategies in the foreign exchange market. We find a signiffcant cross-sectional spread in excess return