The Profitability of Simple Trading Strategies Exploiting the Forward Premium Bias in Foreign Exchange Markets and the Time Premium in Yield Curves

Andres Vesilind ()
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Andres Vesilind: Tartu University, Estonia

Chapter 2 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2007, vol. 5, pp 25-44 from University of Lodz

Abstract: A. Vesilind (Chapter 2) considers forward premium bias in the foreign exchange market and time premium in the yield curves as the source of profitability. The author finds a positive excess returns from two simple trading rules of holding long-only positions (with some modification).

Keywords: The profitability of simple trading strategies; Forward premium bias; Foreign exchange markets; Yield curves (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2007
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