The Forward Premium Anomaly at Long Horizons

Stuart Snaith, Neil Kellard () and Jerry Coakley

No 474, Computing in Economics and Finance 2006 from Society for Computational Economics

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

Keywords: exchange rates; forward premium; HAC-bootstrap (search for similar items in EconPapers)
Date: 2006-07-04
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Persistent link: https://EconPapers.repec.org/RePEc:sce:scecfa:474

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