Data

Dissecting Currency Momentum

Shaojun Zhang

Files: 

The excel spreadsheet (updated December 2020) contains the series of factor momentum, momentum and time-series momentum test portfolios, and carry and dollar factors.

If you use this data, please cite:

Zhang, Shaojun. "Dissecting currency momentum." Journal of Financial Economics 144.1 (2022): 154-173.

Housing Cycles and Exchange Rates

Sai Ma and Shaojun Zhang

Files: 

The excel spreadsheet contains the housing variable (PRFI/PNFI), dollar index changes, and dollar excess returns. 

If you use this data, please cite:

Ma, Sai and Zhang, Shaojun. "Housing Cycles and Exchange Rates." Management Science (2023), Forthcoming.