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The impact of data errors on measurement of the foreign exchange risk premium

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  • Cornell, Bradford

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  • Cornell, Bradford, 1989. "The impact of data errors on measurement of the foreign exchange risk premium," Journal of International Money and Finance, Elsevier, vol. 8(1), pages 147-157, March.
  • Handle: RePEc:eee:jimfin:v:8:y:1989:i:1:p:147-157
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    Citations

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    Cited by:

    1. HeeJoon Kang, 1992. "Forward exchange rates as unbiased predictors of future spot rates a review and re-interpretation," Open Economies Review, Springer, vol. 3(2), pages 215-232, June.
    2. Liu, Wei & Maynard, Alex, 2005. "Testing forward rate unbiasedness allowing for persistent regressors," Journal of Empirical Finance, Elsevier, vol. 12(5), pages 613-628, December.
    3. Vipul Bhatt & Arvind Virmani, 2005. "Global integration of India's Money Market : Interest rate parity in India," Indian Council for Research on International Economic Relations, New Delhi Working Papers 164, Indian Council for Research on International Economic Relations, New Delhi, India.
    4. Bekaert, Geert & Hodrick, Robert J., 1993. "On biases in the measurement of foreign exchange risk premiums," Journal of International Money and Finance, Elsevier, vol. 12(2), pages 115-138, April.
    5. Ligeralde, Antonio V., 1997. "Covariance matrix estimators and tests of market efficiency," Journal of International Money and Finance, Elsevier, vol. 16(2), pages 323-343, April.
    6. Yangru Wu & Hua Zhang, 1997. "Forward premiums as unbiased predictors of future currency depreciation: a non-parametric analysis," Journal of International Money and Finance, Elsevier, vol. 16(4), pages 609-623, August.
    7. Bruno Solnik, 1991. "Finance Theory and Investment Management," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 127(III), pages 303-324, September.
    8. Narayan, Paresh Kumar & Sharma, Susan Sunila, 2015. "Does data frequency matter for the impact of forward premium on spot exchange rate?," International Review of Financial Analysis, Elsevier, vol. 39(C), pages 45-53.
    9. Dhekra Azouzi & Rohit Vishal Kumar & Chaker Aloui, 2011. "Forward Rate Unbiasedness Hypothesis in the Tunisian Exchange Rate Market," International Journal of Academic Research in Business and Social Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Business and Social Sciences, vol. 1(2), pages 17-44, July.
    10. Douglas J. Hodgson & Oliver Linton & Keith Vorkink, 2004. "Testing forward exchange rate unbiasedness efficiently: a semiparametric approach," Journal of Applied Economics, Universidad del CEMA, vol. 7, pages 325-353, November.
    11. Engel, Charles, 1996. "The forward discount anomaly and the risk premium: A survey of recent evidence," Journal of Empirical Finance, Elsevier, vol. 3(2), pages 123-192, June.
    12. Grossmann, Axel & Simpson, Marc W., 2015. "Bid-ask spreads, deviations from PPP and the forward prediction error: The case of the British pound and the euro," The Quarterly Review of Economics and Finance, Elsevier, vol. 55(C), pages 124-139.
    13. Alex Maynard, 2006. "The forward premium anomaly: statistical artefact or economic puzzle? New evidence from robust tests," Canadian Journal of Economics, Canadian Economics Association, vol. 39(4), pages 1244-1281, November.
    14. Biswas, Rita & Shawky, Hany A., 1997. "Foreign exchange market efficiency: Evidence from the Gulf War period," Global Finance Journal, Elsevier, vol. 8(2), pages 199-210.
    15. Karabiyik, Hande & Westerlund, Joakim & Narayan, Paresh, 2016. "On the estimation and testing of predictive panel regressions," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 45(C), pages 115-125.

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