Alpha Asymmetry in Foreign Exchange Markets: An Investigation of Exploitability

Abstract

Does distributional asymmetry in foreign exchange alpha signals constitute an exploitable market inefficiency? Using EUR/JPY weekly data (2015-2025) with dependence-robust block-bootstrap inference, we find the asymmetry premise largely dissolves: the signed tail signal skews negative (-1.47) rather than positive, and the one signal with robust distributional asymmetry yields no tradable edge - walk-forward performance is inert, with White's Reality Check (p = 0.15) and Hansen's SPA (p = 0.28) confirming the null. An earlier version reported pronounced positive tail-signal skewness; that figure measured unsigned exceedance magnitude, which is right-skewed by construction, and we document the correction.