Investor Sentiment, Attention and Profitability of Currency Momentum Strategies

Download or read book Investor Sentiment, Attention and Profitability of Currency Momentum Strategies written by Paweł Maryniak and published by . This book was released on 2016 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: Paper analyzes the relationship between the profitability of currency momentum strategy and its potential sources - investor sentiment and investor attention. Evidence supporting the existence of relationship between investor sentiment and currency momentum is presented. It seems that this relationship is different than for equity momentum. Investor sentiment seems to affect in the opposite way long and short leg of currency momentum strategy. It seems that adjusting currency momentum for this relationship can magnify its profitability. Investor attention also seems to have an impact on the profitability of currency momentum which seems to be the most profitable for low attention currencies.