Journal Article
Are consensus FX forecasts valuable for investors?
Autoren
Erscheinungsdatum
DOI
10.1016/j.ijforecast.2023.02.007
Schlagworte
Internationale Finanzen
Finanzmärkte
We establish a new link between the cross-section of currency returns and survey-based forecasts. Using data from Consensus Economics, we show that surveys provide trading signals which are not entirely driven by standard benchmark trading strategies such as momentum, carry, or value. We evidence the sizable economic value of survey-based trading strategies, as they provide additional excess returns of up to two percentage points per year compared to benchmarks. This illustrates that professionals effectively explore available information and that their expertise can be used to diversify exchange rate portfolios. Our findings are robust against various tests and different currency portfolios structures.
