Currency returns, market regimes and behavioral biases

DOI10.1007/S10436-012-0220-3MaRDI QIDQ470660zbMATHOpenAlexFDO

Authors Leonard C. MacLean, Yonggan Zhao, William T. Ziemba

Publication date 12 November 2014

Published in Annals of Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10436-012-0220-3

zbMATH Keywords

regime switchingbehavioral biascurrency market portfolioforward premium puzzleinterest rate parity

Mathematics Subject Classification ID

Portfolio theory (91G10) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Recommendations

• Forward and spot exchange rates in a multi-currency world
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Cites work

• scientific article; zbMATH DE number 3567782 (Why is no real title available?)
• Estimating the dimension of a model
• Investor overconfidence and the forward premium puzzle
• Judgemental Overconfidence, Self-Monitoring, and Trading Performance in an Experimental Financial Market
• Prospect Theory: An Analysis of Decision under Risk
• The Efficiency Analysis of Choices Involving Risk

Cited in

(3)

• Pairwise trade and coexistence of money and higher-return assets
• Global and regional risks in currency returns
• Hyperbolic efficiency and return to the dollar

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