The Forward Premium Puzzle Across Maturities

Liang Ding and Linh To
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Linh To: Convexity Capital Management LP

Economics Bulletin, 2010, vol. 30, issue 2, 1113-1119

Abstract: This paper tests the forward premium puzzle in a wide range of maturities from 1-day to 5-year. It finds that the forward premium puzzle appears to be most significant for medium maturities, while disappearing for both very short and long maturities.

Keywords: forward premium puzzle; maturity; GMM (search for similar items in EconPapers)
JEL-codes: F3 G1 (search for similar items in EconPapers)
Date: 2010-04-27
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-10-00064

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