Dear Colleagues,
LTI@UniTO (www.carloalberto.org/lti) and Collegio Carlo
Alberto are pleased to invite you to the following seminar in
Quantitative Finance,
that will take place on June 3rd at 3 pm via Zoom. Please
register here https://ltiwebinar3june.eventbrite.it/
to get the Zoom link.
Speaker: Sohnke Bartram (Warwick Business School)
Title: "Currency Anomalies"
AbstractÂ
This paper is the first to study the cross-section of
currency anomalies to explore alternative explanations for
their existence. Using real-time data, currency anomalies are
profitable during in-sample and out-of-sample periods, both
before and after transaction costs, but trading profits
decrease substantially after the publication of the underlying
academic research. The decline is greater for anomalies with
larger in-sample profits and lower arbitrage costs, and signal
ranks and performance decay quickly, suggesting that currency
anomalies reflect mispricing rather than compensation for risk
or statistical bias. Mispricing is systematically related to
mistakes and changes in analysts’ currency forecasts. In
particular, analysts expect anomaly payoffs that are too low
compared with actual anomaly profits. However, analysts update
their forecasts to incorporate lagged anomaly information.
These results are consistent with a behavioral explanation for
currency anomalies.
-- Luca Regis Associate Professor Department of Economics and Statistics (ESOMAS) University of Torino sites.google.com/view/lucaregis Office: +39 011 670 6065 www.carloalberto.org/lti