Currency returns, market regimes and behavioral biases

DOI10.1007/S10436-012-0220-3zbMATH Open1298.91174OpenAlexW2083886048MaRDI QIDQ470660FDOQ470660

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

Recommendations

• Forward and spot exchange rates in a multi-currency world
• Global and regional risks in currency returns
• Investor overconfidence and the forward premium puzzle
• The forward bias: Is it a money tree?
• An empirical investigation of the unbiased forward exchange rate hypothesis in a regime switching market

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)

Cites Work

• Estimating the dimension of a model
• Title not available (Why is that?)
• The Efficiency Analysis of Choices Involving Risk
• Prospect Theory: An Analysis of Decision under Risk
• Judgemental Overconfidence, Self-Monitoring, and Trading Performance in an Experimental Financial Market
• Investor overconfidence and the forward premium puzzle

Cited In (3)

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

This page was built for publication: Currency returns, market regimes and behavioral biases

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q470660)