| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15306 |
| DP15306 Prospect Theory and Currency Returns: Empirical Evidence | |
| Qi Xu; Roman Kozhan; Mark Taylor | |
| 发表日期 | 2020-09-17 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | We empirically investigate the role of prospect theory in the foreign exchange market. Using the historical distribution of exchange rate changes, we construct a currency-level measure of prospect theory value and find that it negatively forecasts future currency excess returns. High prospect theory value currencies significantly underperform low prospect theory value currencies. The predictability is higher when arbitrage is limited and during periods of excess speculative demand of ir- rational traders. These findings are consistent with the hypothesis that investors mentally represent currencies by their historical distributions or charts and evaluate the distribution in the way described by prospect theory. |
| 主题 | International Macroeconomics and Finance |
| 关键词 | Foreign exchange Currency returns Prospect theory Limits to arbitrage |
| URL | https://cepr.org/publications/dp15306 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/544283 |
| 推荐引用方式 GB/T 7714 | Qi Xu,Roman Kozhan,Mark Taylor. DP15306 Prospect Theory and Currency Returns: Empirical Evidence. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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