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Efficiency Tests of the Foreign Currency Options Market

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Author Info
Bodurtha, James N, Jr
Courtadon, Georges R
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Article provided by American Finance Association in its journal Journal of Finance.

Volume (Year): 41 (1986)
Issue (Month): 1 (March)
Pages: 151-62
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Handle: RePEc:bla:jfinan:v:41:y:1986:i:1:p:151-62

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  1. Kleopatra Nikolaou & Lucio Sarno, 2005. "New Evidence on the Forward Unbiasedness Hypothesis in the Foreign Exchange Market," Money Macro and Finance (MMF) Research Group Conference 2005 77, Money Macro and Finance Research Group. [Downloadable!]
  2. Christopher J. Neely, 2004. "Forecasting foreign exchange volatility: why is implied volatility biased and inefficient? and does it matter?," Working Papers 2002-017, Federal Reserve Bank of St. Louis. [Downloadable!]
  3. Owen A. Lamont & Richard H. Thaler, . "Can the Market Add and Subtract? Mispricing in Tech Stock Carve-outs," CRSP working papers 528, Center for Research in Security Prices, Graduate School of Business, University of Chicago. [Downloadable!]
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  4. Eli Ofek & Matthew Richardson & Robert F. Whitelaw, 2003. "Limited Arbitrage and Short Sales Restrictions: Evidence from the Options Markets," NBER Working Papers 9423, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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This page was last updated on 2008-11-26.


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