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- W3121364229 abstract "I examine return seasonality in the foreign exchange market using currency futures during the period 1973−2015. All the G10 currency futures yield negative returns in January and this effect happens more often in the countries that have a tax year ending in December. In contrast, returns offered in April are positive. To exploit these anomalies, I use the seasonality strategy proposed by Keloharju et al. (2016) that selects portfolios based on their historical same-calendar-month returns. I find that this strategy does not work in the currency market, although I find consistent results with Keloharju et al. in the stock portfolios." @default.
- W3121364229 created "2021-02-01" @default.
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- W3121364229 date "2017-01-30" @default.
- W3121364229 modified "2023-09-23" @default.
- W3121364229 title "Return Seasonality in the Foreign Exchange Market" @default.
- W3121364229 hasPublicationYear "2017" @default.
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