The Forward Premium Anomaly at Long Horizons
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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|Date of creation:||04 Jul 2006|
|Date of revision:|
|Contact details of provider:|| Web page: http://comp-econ.org/|
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