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Volumn 25, Issue 1, 2006, Pages 48-70

The forward premium in a model with heterogeneous prior beliefs

Author keywords

Asset pricing; International finance; Learning, information, and knowledge

Indexed keywords


EID: 30944467308     PISSN: 02615606     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jimonfin.2005.10.004     Document Type: Article
Times cited : (8)

References (17)
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    • Baak, S.J.1
  • 2
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    • On information and market dynamics: The case of the U.S. beef market
    • J. Chavas On information and market dynamics: The case of the U.S. beef market Journal of Economic Dynamics and Control 24 2000 833-853
    • (2000) Journal of Economic Dynamics and Control , vol.24 , pp. 833-853
    • Chavas, J.1
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    • 0010646705 scopus 로고    scopus 로고
    • Heterogeneous expectations and tests of efficiency in the Yen/Dollar forward exchange rate market
    • G. Elliott T. Ito Heterogeneous expectations and tests of efficiency in the Yen/Dollar forward exchange rate market Journal of Monetary Economics 43 1999 435-456
    • (1999) Journal of Monetary Economics , vol.43 , pp. 435-456
    • Elliott, G.1    Ito, T.2
  • 6
    • 0030163502 scopus 로고    scopus 로고
    • The forward discount anomaly and the risk premium: A survey of recent evidence
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    • (1996) Journal of Empirical Finance , vol.3 , pp. 123-192
    • Engel, C.1
  • 7
    • 4243235561 scopus 로고    scopus 로고
    • Explaining bubbles in experimental asset markets
    • Unpublished manuscript, Ohio State University
    • Fisher, E.O'N., 2003. Explaining bubbles in experimental asset markets. Unpublished manuscript, Ohio State University.
    • (2003)
    • Fisher, E.O'N.1
  • 9
    • 84959812265 scopus 로고
    • Speculative investor behavior in a stock market with heterogeneous expectations
    • J.M. Harrison D.M. Kreps Speculative investor behavior in a stock market with heterogeneous expectations Quarterly Journal of Economics 92 1978 323-336
    • (1978) Quarterly Journal of Economics , vol.92 , pp. 323-336
    • Harrison, J.M.1    Kreps, D.M.2
  • 11
    • 0001054949 scopus 로고
    • The 'Peso Problem' in testing the efficiency of forward exchange markets
    • W.S. Krasker 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
  • 12
    • 0000639652 scopus 로고
    • Changing beliefs and systematic rational forecast errors with evidence from foreign exchange
    • K.K. Lewis Changing beliefs and systematic rational forecast errors with evidence from foreign exchange American Economic Review 79 1989 621-636
    • (1989) American Economic Review , vol.79 , pp. 621-636
    • Lewis, K.K.1
  • 14
    • 0037761333 scopus 로고    scopus 로고
    • Speculative investor behavior and learning
    • S. Morris Speculative investor behavior and learning Quarterly Journal of Economics 111 1996 1111-1134
    • (1996) Quarterly Journal of Economics , vol.111 , pp. 1111-1134
    • Morris, S.1
  • 15
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    • A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix
    • W.K. Newey K.D. West A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix Econometrica 55 1987 703-708
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    • Newey, W.K.1    West, K.D.2
  • 16
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    • Federal reserve interest rate targeting, rational expectation and the term structure
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    • Rudebusch, G.D.1
  • 17
    • 84959793026 scopus 로고
    • Risk, interest rates, and the forward exchange rate
    • J. Siegel Risk, interest rates, and the forward exchange rate Quarterly Journal of Economics 86 1972 303-339
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    • Siegel, J.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.