Are carry, momentum and value still there in currencies?

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 the average out-of-sample Sharpe ratio decreases from +0.39 −0.32. Cross sectional tests no longer respond interest rate real exchange differentials. During this period currency excess do exhibit autocorrelation. Our results consistent investors learning about mispricing academic research. • find Subsequent publication of risk, disappears. The drop due a change relationship between predictors, arbitrageurs correcting research