Investor overconfidence and the forward premium puzzle

DOI10.1093/RESTUD/RDQ013zbMATH Open1215.91058OpenAlexW3123956423MaRDI QIDQ3012103FDOQ3012103

Authors Craig Burnside, Bing Han, David Hirshleifer, Tracy Yue Wang

Publication date 30 June 2011

Published in Review of Economic Studies (Search for Journal in Brave)

Full work available at URL http://www.nber.org/papers/w15866.pdf

zbMATH Keywords

exchange ratesmonetary policycarry tradePPPmoney supplyforward biasinvestor overconfidence

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Microeconomic theory (price theory and economic markets) (91B24) Trade models (91B60)

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• Bonds, currencies and expectational errors
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• The forward discount puzzle and market efficiency
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• Overreaction in survey exchange rate forecasts
• Biased learning creates overconfidence
• The forward premium puzzle in a model of imperfect information
• Forward and spot exchange rates in a multi-currency world
• Measuring and adjusting for overconfidence
• Risk premia and overshooting

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