Three main currency strategies have been established in the literature: carry, value, and momentum. We investigate momentum using data on 27 currencies (10 developed countries and 17 emerging markets). We find that momentum returns are driven by emerging market currencies, while the currencies of developed countries have no impact. An emerging market- specific dollar risk factor can partly explain these momentum returns. We carry out permutation tests and find support for our hypothesis that momentum returns are driven by emerging markets. However, we show that transaction costs reduce momentum returns considerably. We also show that the returns are time-varying and have been unattractive recently. The implications of this study for financial practitioners are to focus on emerging market currencies and optimise transaction costs when executing momentum strategies.

Maik Schober

Matthias Gehrke

ACRN Journal of Finance and Risk Perspectives

This journal is special because it aims to provide an outlet for inter-disciplinary and more in-depth research papers with various methodological approaches from the broad fields of Finance, Risk and Accounting. The target group of this journal are academics who want to get a better understanding of the interconnectedness of their fields by acknowledging the methods and theories used in closely related areas.    The JOFRP thus aims to overcome the self-imposed paradigmatic boundaries and reflexive isomorphisms of the individual, typically rather narrow fields and invites new and combined perspectives from the fields of Finance, Risk and Accounting. Despite its methodological, topical and disciplinary openness - it does so with a strong focus on academic rigour and robustness. Articles can vary in size and approaches but all articles will be strictly double-blind peer reviewed and authors are frequently invited to discuss the ramifications of their articles in the global FRAP and SSFII conferences.

The ACRN Journal of Finance and Risk Perspectives aims to provide a platform for interdisciplinary and in-depth research papers that utilize various methodological approaches from the broad fields of Finance, Risk, and Accounting. The target audience of this journal consists of academics who seek to better understand the interconnectedness of their fields by recognizing the methods and theories employed in closely related areas. Thus, the ACRN Journal of Finance and Risk Perspectives strives to overcome the self-imposed paradigmatic boundaries and reflexive isomorphisms of typically narrow fields, inviting new and combined perspectives from Finance, Risk, and Accounting. Despite its methodological, topical, and disciplinary openness, it maintains a strong focus on academic rigor and robustness. Articles may vary in size and approach, but all submissions will undergo strict double-blind peer review, and authors are frequently invited to discuss the implications of their work at the global Finance, Risk, and Accounting Perspectives (FRAP) and Social Science and Financial Innovation (SSFII) conferences.

《ACRN Journal of Finance and Risk Perspectives》旨在为跨学科和更深入的研究论文提供一个发表平台，涵盖金融、风险和会计等广泛领域的多种方法论。该期刊的目标读者是希望通过了解相关领域所使用的方法和理论，来更好地理解其学科之间相互联系的学者。因此，《ACRN Journal of Finance and Risk Perspectives》旨在打破各自狭隘领域的自我设限和反思性同构，邀请来自金融、风险和会计领域的新视角和综合观点。尽管该期刊在方法论、主题和学科上保持开放性，但仍然强调学术严谨性和稳健性。文章的长度和方法各异，但所有文章都将经过严格的双盲同行评审，作者也常常被邀请在全球金融风险与会计（FRAP）和社会科学与金融创新（SSFII）会议上讨论其文章的影响。

Currency Momentum: An Emerging Market Issue?

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