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The Forward Premium Puzzle And Risk Premiums [PDF]
This paper re-evaluates the forward premium puzzle using the Euro/US dollar exchange rate. Unlike previous studies, a state-space model is used to measure the significance of this puzzle by estimating the time-specific parameter. Then we provide evidence that the forward premium puzzle became more prominent around the time of the Lehman Shock, and this
openaire
The fundamental-to-market ratio and the value premium decline
Journal of Financial Economics, 2023Andrei S Gonçalves
exaly
The missing risk premium in exchange rates
Journal of Financial Economics, 2022Julien Penasse, Magnus Dahlquist
exaly

