The forward discount puzzle and market efficiency
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Volume (Year): 7 (2011)
Issue (Month): 1 (February)
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- Kenneth A. Froot & Jeffrey A. Frankel, 1989.
"Forward Discount Bias: Is it an Exchange Risk Premium?,"
The Quarterly Journal of Economics,
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- Froot, Kenneth A. & Frankel, Jeffrey A., 1988. "Forward Discount Bias: Is It an Exchange Risk Premium?," Department of Economics, Working Paper Series qt5w65g4zg, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
- Hakkio, Craig S, 1981. "Expectations and the Forward Exchange Rate," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 22(3), pages 663-678, October.
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- Leon, Hyginus & Sarno, Lucio & Valente, Giorgio, 2006. "Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle," CEPR Discussion Papers 5527, C.E.P.R. Discussion Papers.
- Giorgio Valente & Gene L. Leon & Lucio Sarno, 2006. "Nonlinearity in Deviations From Uncovered Interest Parity; An Explanation of the Forward Bias Puzzle," IMF Working Papers 06/136, International Monetary Fund.
- Froot, Kenneth A & Thaler, Richard H, 1990. "Foreign Exchange," Journal of Economic Perspectives, American Economic Association, vol. 4(3), pages 179-192, Summer.
- Longworth, David, 1981. "Testing the Efficiency of the Canadian-U.S. Exchange Market under the Assumption of no Risk Premium," Journal of Finance, American Finance Association, vol. 36(1), pages 43-49, March.
- Baillie, Richard T. & Bollerslev, Tim, 2000. "The forward premium anomaly is not as bad as you think," Journal of International Money and Finance, Elsevier, vol. 19(4), pages 471-488, August.
- 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.
- Charles Engel, 1995. "The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence," NBER Working Papers 5312, National Bureau of Economic Research, Inc.
- Jose Olmo & Keith Pilbeam, 2009. "The profitability of carry trades," Annals of Finance, Springer, vol. 5(2), pages 231-241, March.
- Alex Maynard & Peter C. B. Phillips, 2001. "Rethinking an old empirical puzzle: econometric evidence on the forward discount anomaly," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(6), pages 671-708.
- Fama, Eugene F., 1984. "Forward and spot exchange rates," Journal of Monetary Economics, Elsevier, vol. 14(3), pages 319-338, November.
- Cavaglia, Stefano M F G & Verschoor, Willem F C & Wolff, Christian C P, 1994. "On the Biasedness of Forward Foreign Exchange Rates: Irrationality or Risk Premia?," The Journal of Business, University of Chicago Press, vol. 67(3), pages 321-343, July.
- Boothe, Paul & Longworth, David, 1986. "Foreign exchange market efficiency tests: Implications of recent empirical findings," Journal of International Money and Finance, Elsevier, vol. 5(2), pages 135-152, June. Full references (including those not matched with items on IDEAS)
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