On the profitability of influential carry-trade strategies: Data-snooping bias and post-publication performance

Po-Hsuan Hsu, Mark P. Taylor, Zigan Wang and Yan Li

Journal of Empirical Finance, 2025, vol. 83, issue C

Abstract: This study examines whether 13 influential carry-trade strategies retain profitability after being published in the academic literature. We first implement several bootstrap methods to correct for the presence of data snooping and find that the pre-publication profitability of these strategies is not due to selection bias, demonstrating their original capacity to exploit market inefficiencies. On the other hand, their profitability has declined since their publication years. Our empirical evidence suggests that, although academic researchers may sometimes uncover market anomalies, their publication reduces inefficiencies in currency markets.

Keywords: Foreign exchange trading; Carry-trade strategies; Data-snooping bias (search for similar items in EconPapers)
JEL-codes: C53 F31 G15 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:empfin:v:83:y:2025:i:c:s0927539825000623

DOI: 10.1016/j.jempfin.2025.101640

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