메뉴 건너뛰기




Volumn 73, Issue 1, 2001, Pages 65-72

Scandinavian forward discount bias risk premia

Author keywords

Exchange rates; Expectations; F31; Risk premia; Survey data

Indexed keywords


EID: 0035646613     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0165-1765(01)00460-8     Document Type: Article
Times cited : (8)

References (23)
  • 1
    • 84944838161 scopus 로고
    • International portfolio choice and corporation finance: A synthesis
    • Adler M., Dumas B. International portfolio choice and corporation finance: a synthesis. Journal of Finance. 38:1983;925-984.
    • (1983) Journal of Finance , vol.38 , pp. 925-984
    • Adler, M.1    Dumas, B.2
  • 3
    • 0000048483 scopus 로고
    • Market microstructure effects of government intervention in the foreign exchange market
    • Bossaerts P., Hillion P. Market microstructure effects of government intervention in the foreign exchange market. Review of Financial Studies. 4:1991;513-541.
    • (1991) Review of Financial Studies , vol.4 , pp. 513-541
    • Bossaerts, P.1    Hillion, P.2
  • 6
    • 21344479057 scopus 로고
    • On the biasedness of forward foreign exchange rates: Irrationality or risk premia?
    • Cavaglia S., Verschoor W.F.C., Wolff C.C.P. On the biasedness of forward foreign exchange rates: irrationality or risk premia? Journal of Business. 3:1994;177-179.
    • (1994) Journal of Business , vol.3 , pp. 177-179
    • Cavaglia, S.1    Verschoor, W.F.C.2    Wolff, C.C.P.3
  • 8
    • 0030163502 scopus 로고    scopus 로고
    • The forward discount anomaly and the risk premium: A survey of recent evidence
    • Engel C. The forward discount anomaly and the risk premium: a survey of recent evidence. Journal of Empirical Finance. 3:1996;123-192.
    • (1996) Journal of Empirical Finance , vol.3 , pp. 123-192
    • Engel, C.1
  • 10
    • 0001634783 scopus 로고
    • Short-term and long-term expectations of the yen/dollar exchange rate: Evidence from survey data
    • Frankel J.F., Froot K.A. Short-term and long-term expectations of the yen/dollar exchange rate: evidence from survey data. Journal of the Japanese and International Economies. 1:1987;249-274.
    • (1987) Journal of the Japanese and International Economies , vol.1 , pp. 249-274
    • Frankel, J.F.1    Froot, K.A.2
  • 11
    • 0000131597 scopus 로고
    • Using survey data to test standard propositions regarding exchange rate expectations
    • Frankel J.F., Froot K.A. Using survey data to test standard propositions regarding exchange rate expectations. American Economic Review. 77:1987;133-153.
    • (1987) American Economic Review , vol.77 , pp. 133-153
    • Frankel, J.F.1    Froot, K.A.2
  • 12
    • 84959841139 scopus 로고
    • Forward discount bias: Is it an exchange risk premium?
    • Froot K.A., Frankel J.F. Forward discount bias: is it an exchange risk premium? Quarterly Journal of Economics. 104:1989;139-161.
    • (1989) Quarterly Journal of Economics , vol.104 , pp. 139-161
    • Froot, K.A.1    Frankel, J.F.2
  • 14
    • 0000714094 scopus 로고
    • Forward exchange rates as optimal predictors of future spot rates: An econometric analysis
    • Hansen L.P., Hodrick R.J. Forward exchange rates as optimal predictors of future spot rates: An econometric analysis. Journal of Political Economy. 88:1980;829-853.
    • (1980) Journal of Political Economy , vol.88 , pp. 829-853
    • Hansen, L.P.1    Hodrick, R.J.2
  • 15
    • 49049149291 scopus 로고
    • International asset pricing with time-varying risk premia
    • Hodrick R. International asset pricing with time-varying risk premia. Journal of International Economics. 1:1981;573-577.
    • (1981) Journal of International Economics , vol.1 , pp. 573-577
    • Hodrick, R.1
  • 17
    • 0001054949 scopus 로고
    • The 'peso problem' in testing the efficiency of forward exchange markets
    • Krasker W.S. The 'peso problem' in testing the efficiency of forward exchange markets. Journal of Monetary Economics. 6:1980;269-276.
    • (1980) Journal of Monetary Economics , vol.6 , pp. 269-276
    • Krasker, W.S.1
  • 18
    • 77956852950 scopus 로고
    • The Handbook of International Economics, Chapter 37
    • G. Grossman, & K. Rogoff. Amsterdam: North Holland
    • Lewis K.K. Grossman G., Rogoff K. The Handbook of International Economics, Chapter 37. Puzzles in International Financial Markets. Vol. III:1995;1913-1971 North Holland, Amsterdam.
    • (1995) Puzzles in International Financial Markets , vol.3 , pp. 1913-1971
    • Lewis, K.K.1
  • 19
    • 0000706085 scopus 로고
    • A simple, positive semi-definite heteroskedasticity and autocorrelation consistent covariance matrix
    • Newey W., West K. A simple, positive semi-definite heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica. 55:1987;703-708.
    • (1987) Econometrica , vol.55 , pp. 703-708
    • Newey, W.1    West, K.2
  • 22
    • 34249011954 scopus 로고
    • A model of international asset pricing
    • Stulz R. A model of international asset pricing. Journal of Financial Economics. 9:1981;383-406.
    • (1981) Journal of Financial Economics , vol.9 , pp. 383-406
    • Stulz, R.1
  • 23
    • 84981478968 scopus 로고
    • Expectations, risk and uncertainty in the foreign exchange market: Some results based on survey data
    • Taylor M. Expectations, risk and uncertainty in the foreign exchange market: some results based on survey data. The Manchester School of Economic and Social Studies. 2:1989;142-153.
    • (1989) The Manchester School of Economic and Social Studies , vol.2 , pp. 142-153
    • Taylor, M.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.