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If you’re so smart: John Maynard Keynes and currency speculation in the interwar years

Accominotti, Olivier and Chambers, David (2016) If you’re so smart: John Maynard Keynes and currency speculation in the interwar years. The Journal of Economic History, 76 (2). pp. 342-386. ISSN 0022-0507

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Abstract

This article explores the risks and returns to currency speculation during the 1920s and 1930s. We study the performance of two well-known technical trading strategies (carry and momentum) and compare them with that of a fundamentals-based trader: John Maynard Keynes. Technical strategies were highly profitable during the 1920s and even outperformed Keynes. In the 1930s, however, both technical strategies and Keynes performed relatively poorly. While our results reveal the existence of profitable opportunities for currency traders in the interwar years, they suggest that such profits were necessary compensation for enduring the substantial risks that all strategies entailed.

Item Type: Article
Official URL: http://journals.cambridge.org/action/displayJourna...
Additional Information: © 2016 The Economic History Association
Library of Congress subject classification: H Social Sciences > HG Finance
Journal of Economic Literature Classification System: F - International Economics > F3 - International Finance > F31 - Foreign Exchange
G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency; Event Studies
G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets
N - Economic History > N2 - Financial Markets and Institutions > N22 - U.S.; Canada: 1913-
N - Economic History > N2 - Financial Markets and Institutions > N24 - Europe: 1913-
Sets: Departments > Economic History
Collections > Economists Online
Project and Funder Information:
Project IDFunder NameFunder ID
UNSPECIFIEDNewton Centre for Endowment Asset ManagementUNSPECIFIED
UNSPECIFIEDJudge Business SchoolUNSPECIFIED
UNSPECIFIEDCambridge UniversityUNSPECIFIED
Date Deposited: 16 Dec 2015 10:15
URL: http://eprints.lse.ac.uk/64722/

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