Are carry, momentum and value still there in currencies?
研究发现货币的套利、动量和价值可预测性源于错误定价，在学术证据公布后样本外夏普比率从+0.39降至-0.32，汇率不再对利率和实际汇率差异做出反应，超额收益也无自相关性。
We show that carry, momentum and value predictability in currencies is associated with mispricing. Specifically, investment performance disappears subsequent to published evidence showing portfolio returns are not fully explained by risk. Replicating these studies, we show that the average out-of-sample Sharpe ratio decreases from +0.39 to −0.32. Cross sectional tests show that currencies no longer respond to interest rate and real exchange rate differentials. During this period currency excess returns do not exhibit autocorrelation. Our results are consistent with investors learning about mispricing from academic research.