8 Pages Posted: 31 Aug 1998 Last revised: 28 Dec 2014
Date Written: August 16, 2007
This paper studies the forward premium puzzle in a model with imperfect information. The model predicts fixed effects and conditional heteroskedasticity in the forward premium regression and provides a rationale for the evidence in Mayfield and Murphy (1992).
Keywords: Forward premium puzzle, imperfect information, Kalman filter, fixed effects, conditional heteroskedasticity
JEL Classification: F31
Suggested Citation: Suggested Citation
Albuquerque, Rui A., The Forward Premium Puzzle in a Model of Imperfect Information: Theory and Evidence (August 16, 2007). Economics Letters, Vol. 99, 2008. Available at SSRN: https://ssrn.com/abstract=111788 or http://dx.doi.org/10.2139/ssrn.111788