Affiliation:
1. School of Business, Ithaca College, 953 Donby Road, Ithaca, NY 14850, USA
Abstract
This study tests whether individual foreign exchange (Forex) investors can predict future returns, time the market and generate alpha after transaction costs. Using a sample of 1,231 Forex trading accounts and 72,072 trades, the results show that individual Forex investors can predict future returns up to eight days after trade execution, even after controlling for Volatility. The results of return predictability are significant because they support the idea that linear independence is rejected as well as provide empirical evidence that private information is available in the foreign exchange market.
Publisher
World Scientific Pub Co Pte Lt
Subject
Economics and Econometrics,Finance,Business and International Management
Cited by
3 articles.
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