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The Forward Premium Anomaly at Long Horizons

Author

Listed:
  • Stuart Snaith
  • Neil Kellard
  • Jerry Coakley

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

Suggested Citation

  • Stuart Snaith & Neil Kellard & Jerry Coakley, 2006. "The Forward Premium Anomaly at Long Horizons," Computing in Economics and Finance 2006 474, Society for Computational Economics.
    • Handle: RePEc:sce:scecfa:474
    as

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