Heterogeneous expectations and tests of efficiency in the yen/dollar forward exchange rate market
In: Journal of Monetary Economics, Band 43, Heft 2, S. 435-456
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In: Journal of Monetary Economics, Band 43, Heft 2, S. 435-456
In: Multinational Finance Journal, Band 12, Heft 1/2, S. 1-20
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In: Decision sciences, Band 21, Heft 3, S. 588-595
ISSN: 1540-5915
ABSTRACTThis paper examines the statistical distribution of exchange rates for eight major currencies for the post‐1973 floating rate period. The results show that spot rates, forward rates, and ex‐post risk premia all exhibit significant, persistent, but varying deviations from normality, and that the risk premia in forward rates reflect investor preferences for skewness and investor aversion towards standard deviation and kurtosis. These results imply that foreign currency forecasting and hedging practices, mean‐variance portfolio analysis, pricing of foreign currency options, and other research involving exchange rates should account for these significant deviations from normality.
In: Politická ekonomie: teorie, modelování, aplikace, Band 67, Heft 5, S. 476-489
ISSN: 2336-8225
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In: Global Finance Journal, Forthcoming
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In: CEPR Discussion Paper No. DP13597
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Working paper
In: Journal of Monetary Economics, Band 14, Heft 3, S. 319-338
In: Reprints in international finance 24
World Affairs Online
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In: NBER working paper series 11840
In: Journal of economics, Band 50, Heft 2, S. 113-127
ISSN: 1617-7134
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In: NBER Working Paper No. w11840
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In: CEPR Discussion Paper No. DP14889
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In: Fama-Miller Working Paper
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Working paper