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Lo, A. W. (2004). The Adaptive Markets Hypothesis: Market Efficiency from an Evolutionary Perspective. Journal of Portfolio Management, 30, 15-29.
https://doi.org/10.3905/jpm.2004.442611

has been cited by the following article:

• TITLE: Country-Level Indicators and Foreign Exchange Returns

  AUTHORS: Hongwei Zhai

  KEYWORDS: Foreign Exchange, Global Macro, Return Forecasting, Portfolio Management, China, Japan, Brazil

  JOURNAL NAME: Modern Economy, Vol.14 No.11, November 22, 2023

  ABSTRACT: This study uses daily foreign exchange (FX) rate changes in China, Japan, and Brazil from 2000 to 2022 to examine the predictability of FX returns. I observe multiple Bloomberg signals with statistically significant return-forecasting power to the FX returns. These signals can be divided into three groups: macroeconomic, investor sentiment, and stock market related. This study adds to the empirical understanding of how country-level economic indicators can forecast FX returns.