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Short-Term Horizons in Foreign Exchange? Survey Evidence from Dealers and Fund Managers

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  • Menkhoff, Lukas

Abstract

The paper examines the extent and determinants of short-term horizons in taking open positions using a questionnaire mailed to professional foreign exchange market participants in Germany. The findings reveal that the absolute anticipation horizon is short, but not necessarily short-termist. Another related but empirically different measure is proposed, based on the relative length of different horizons; its use clearly shows widespread restrictions in relation to optimal behavior. No determinants in personal characteristics were established for either empirical measure; rather the institutional environment was found to be an influence. Thus professionals may adapt rationally to their incentive structure, which works towards short-term horizons in position taking. Copyright 2001 by WWZ and Helbing & Lichtenhahn Verlag AG

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Bibliographic Info

Article provided by Wiley Blackwell in its journal Kyklos.

Volume (Year): 54 (2001)
Issue (Month): 1 ()
Pages: 27-47

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Handle: RePEc:bla:kyklos:v:54:y:2001:i:1:p:27-47

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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0023-5962

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Cited by:
  1. Audretsch, David B. & Stadtmann, Georg, 2005. "Biases in FX-Forecasts: Evidence from Panel Data," Research Notes 19, Deutsche Bank Research.
  2. Pierdzioch, Christian & Schäfer, Dirk & Stadtmann, Georg, 2010. "Fly with the eagles or scratch with the chickens? Zum Herdenverhalten von Wechselkursprognostikern," Discussion Papers 287, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics.
  3. Daniela Beckmann & Lukas Menkhoff, 2008. "Will Women Be Women? Analyzing the Gender Difference among Financial Experts," Kyklos, Wiley Blackwell, vol. 61(3), pages 364-384, 08.
  4. Ruelke, Jan C. & Frenkel, Michael R. & Stadtmann, Georg, 2010. "Expectations on the yen/dollar exchange rate - Evidence from the Wall Street Journal forecast poll," Journal of the Japanese and International Economies, Elsevier, vol. 24(3), pages 355-368, September.
  5. Lendvai, Julia & Raciborski, Rafal & Vogel, Lukas, 2013. "Macroeconomic effects of an equity transaction tax in a general-equilibrium model," Journal of Economic Dynamics and Control, Elsevier, vol. 37(2), pages 466-482.
  6. Frenkel, Michael & Rülke, Jan-Christoph & Stadtmann, Georg, 2009. "Two currencies, one model? Evidence from the Wall Street Journal forecast poll," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(4), pages 588-596, October.
  7. Andreas M. Fischer & Gulzina Isakova & Ulan Termechikov, 2007. "Do FX traders in Bishkek have similar perceptions to their London colleagues? Survey evidence of market practitioners' views," Working Papers 2007-01, Swiss National Bank.
  8. Thomas Oberlechner & Carol Osler, 2009. "Overconfidence in Currency Markets," Working Papers 02, Brandeis University, Department of Economics and International Businesss School.
  9. Christian Pierdzioch & Georg Stadtmann, 2010. "Herdenverhalten von Wechselkursprognostikern?," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 230(4), pages 436-453, August.

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