Table 8 Portfolios sorted on network centrality

Panel A: closeness centrality: \(v_{it - 1}\) (f = 1, h = 1) full sample

 Mean

− 0.906 [− 0.85]

− 0.540 [0.60]

− 0.350 [− 0.43]

− 1.211 [− 1.46]

1.203 [1.94]

2.109 [2.15]

 Sharpe ratio

0.172

Panel B: closeness centrality: \(v_{it - 1}\) (f = 1, h = 1) floating sample

 Mean

− 1.091 [− 0.91]

− 0.786 [− 0.71]

− 0.939 [− 0.86]

− 0.595 [− 0.59]

1.446 [2.09]

2.437 [2.15]

 Sharpe ratio

0.228

Panel C: currency momentum: \(rx_{it - 1}\) (f = 1, h = 1) full sample

 Mean

− 1.539 [− 1.31]

− 0.555 [− 0.62]

− 0.692 [− 0.92]

− 0.348 [0.43]

0.375 [0.40]

1.914 [1.36]

 Sharpe ratio

0.126

Panel D: currency momentum: \(rx_{it - 1}\) (f = 1, h = 1) floating sample

 Mean

− 0.870 [− 0.65]

− 0.555 [− 0.56]

− 0.018 [− 0.02]

− 0.074 [− 0.08]

0.430 [0.43]

1.300 [0.91]

 Sharpe ratio

0.084