| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w15866 |
| 来源ID | Working Paper 15866 |
| Investor Overconfidence and the Forward Premium Puzzle | |
| Craig Burnside; Bing Han; David Hirshleifer; Tracy Yue Wang | |
| 发表日期 | 2010-04-02 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | We offer an explanation for the forward premium puzzle in foreign exchange markets based upon investor overconfidence. In the model, overconfident individuals overreact to their information about future inflation, which causes greater overshooting in the forward rate than in the spot rate. Thus, when agents observe a signal of higher future inflation, the consequent rise in the forward premium predicts a subsequent downward correction of the spot rate. The model can explain the magnitude of the forward premium bias and several other stylized facts related to the joint behavior of forward and spot exchange rates. Our approach is also consistent with the availability of profitable carry trade strategies. |
| 主题 | International Economics ; International Finance ; Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w15866 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/573541 |
| 推荐引用方式 GB/T 7714 | Craig Burnside,Bing Han,David Hirshleifer,et al. Investor Overconfidence and the Forward Premium Puzzle. 2010. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w15866.pdf（467KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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