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The Forward Premium Anomaly at Long Horizons

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Author Info
Stuart Snaith
Neil Kellard
Jerry Coakley

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Abstract

We examine the forward premium anomaly at horizons of 1 month to 10 years. To overcome the data overlap problem, the estimation procedure used is a heteroscedastic and autocorrelation consistent bootstrap estimation procedure. Our point estimates and bootstrap p-values show that the anomaly disappears over the long horizon. These results are consistent with a behavioural finance approach to the anomaly

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Publisher Info
Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2006 with number 474.

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Date of creation: 04 Jul 2006
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Handle: RePEc:sce:scecfa:474

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Web page: http://comp-econ.org/
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Related research
Keywords: exchange rates; forward premium; HAC-bootstrap;

Statistics
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This page was last updated on 2010-1-4.

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