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Understanding the Forward Premium Puzzle: A Microstructure Approach. (2007). Rebelo, Sergio ; Eichenbaum, Martin ; Burnside, Craig.
In: CEPR Discussion Papers.
RePEc:cpr:ceprdp:6399.

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Citations

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  1. Predicting foreign investors’ carry trade activity in the Israeli FX market using a time-varying currency risk premium approach. (2019). Mantzura, Ariel ; Schreiber, Ben Z.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:59:y:2019:i:c:p:438-457.

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  2. Gradual learning about shocks and the forward premium puzzle. (2018). Moran, Kevin ; Nono, Simplice Aime.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:88:y:2018:i:c:p:79-100.

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  3. An Empirical Analysis of Relationships between the Forward Exchange Rates and Present and Future Spot Exchange Rates Example of CZK/USD and CZK/EUR. (2017). Arlt, Josef ; Mandel, Martin .
    In: Czech Journal of Economics and Finance (Finance a uver).
    RePEc:fau:fauart:v:67:y:2017:i:3:p:199-220.

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  5. Dodging the steamroller: Fundamentals versus the carry trade. (2016). Copeland, Laurence ; Lu, Wenna .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:42:y:2016:i:c:p:115-131.

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  6. Are stock markets in Asia related to carry trade?. (2013). Fung, Hung-Gay ; Tse, Yiuman ; Zhao, Lin.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:25:y:2013:i:c:p:200-216.

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  7. A sentiment-based explanation of the forward premium puzzle. (2013). Yu, Jianfeng.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:60:y:2013:i:4:p:474-491.

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  8. An analysis of forward exchange rate biasedness across developed and developing country currencies: Do observed patterns persist out of sample?. (2013). lucey, brian ; Loring, Grace .
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:17:y:2013:i:c:p:14-28.

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  9. Forward Exchange Rate Biasedness across Developed and Developing Country Currencies - Do Observed Patterns Persist Out of Sample?Abstract:. (2012). lucey, brian ; Loring, Grace .
    In: The Institute for International Integration Studies Discussion Paper Series.
    RePEc:iis:dispap:iiisdp404.

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  10. A sentiment-based explanation of the forward premium puzzle. (2011). Yu, Jianfeng.
    In: Globalization Institute Working Papers.
    RePEc:fip:feddgw:90.

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  11. The Forward Market in Emerging Currencies: Less Biased than in Major Currencies. (2009). Frankel, Jeffrey ; Poonawala, Jumana .
    In: Scholarly Articles.
    RePEc:hrv:hksfac:4448888.

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  12. Carry Trades and Currency Crashes. (2008). Pedersen, Lasse ; Nagel, Stefan ; Brunnermeier, Markus.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14473.

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  13. The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: A Reply. (2008). Verdelhan, Adrien ; Lustig, Hanno.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13812.

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  14. Short-run Exchange-rate Dynamics: Theory And Evidence. (2008). Dahl, Christian ; Osler, Carol L. ; Carlson, John A..
    In: Working Papers.
    RePEc:brd:wpaper:39.

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  15. Short-run Exchange-Rate Dynamics: Theory and Evidence. (2008). Osler, Carol ; Dahl, Christian ; Carlson, John A.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-01.

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  16. The Returns to Currency Speculation. (2006). Rebelo, Sergio ; Eichenbaum, Martin ; Burnside, Craig ; Kleshchelski, Isaac .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12489.

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  17. The Returns to Currency Speculation. (2006). Rebelo, Sergio ; Eichenbaum, Martin ; Burnside, Craig ; Kleshchelski, Isaac .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5883.

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References

References cited by this document

  1. Albuquerque, Rui, Eva de Francisco, and Luis Marques (2007) ~Marketwide Private Information in Stocks: Forecasting Currency Returns, forthcoming Journal of Finance.

  2. Albuquerque, Rui, Greg Bauer, and Martin Schneider (2007) ~International Equity Flows and Returns: A Quantitative Equilibrium Approach, The Review of Economic Studies, 74: 1-30.

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  6. Corsetti, Giancarlo, Amil Dasgupta, Stephen Morris and Hyun Son Shin (2004) ~Does One Soros Make a Difference? A Theory of Currency Crises with Large and Small Traders, Review of Economic Studies 71(1, January) 2004, 87-113.

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  12. Lyons, Richard K. (2001) The Microstructure Approach to Exchange Rates. Cambridge, Mass.: MIT Press.
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  13. Massa, Massimo and Andrei Simonov (2003) ~Reputation and Interdealer Trading: a Microstructure Analysis of the Treasury Bond Market, Journal of Financial Markets, 6 (2, April), 99-141.

  14. Sarno, Lucio and Mark Taylor (2001) The Microstructure of the Foreign Exchange Market, A Selective Survey of the Literature, Princeton Studies in International Economics, (89, May).
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Cocites

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  1. News, sentiment and capital flows. (2020). Arulraj-Cordonier, Rachel ; Benhima, Kenza.
    In: Working Papers.
    RePEc:snb:snbwpa:2020-04.

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  2. Global Portfolio Rebalancing and Exchange Rates. (2018). Rey, Helene ; Hau, Harald ; Camanho, Nelson.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:24320.

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  3. Gradual Portfolio Adjustment: Implications for Global Equity Portfolios and Returns. (2017). van Wincoop, Eric ; Bacchetta, Philippe.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:23363.

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  4. Gradual Portfolio Adjustment: Implications for Global Equity Portfolios and Returns. (2017). Bacchetta, Philippe ; van Wincoop, Eric.
    In: Cahiers de Recherches Economiques du Département d'économie.
    RePEc:lau:crdeep:17.05.

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  5. Gradual Portfolio Adjustment: Implications for Global Equity Portfolios and Returns. (2017). Bacchetta, Philippe ; van Wincoop, Eric.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:11983.

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  6. Uncertainty and International Capital Flows. (2015). Siemer, Michael ; Gourio, Francois ; Verdelhan, Adrien.
    In: 2015 Meeting Papers.
    RePEc:red:sed015:880.

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  7. Foreigners’ trading and stock returns in Spain. (2015). Porras, Eva ; Ulku, Numan.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:34:y:2015:i:c:p:111-126.

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  8. Advance information and asset prices. (2014). Miao, Jianjun ; Albuquerque, Rui .
    In: Journal of Economic Theory.
    RePEc:eee:jetheo:v:149:y:2014:i:c:p:236-275.

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  9. Do international equity investors rebalance to manage currency exposure? A study of Greece foreign investor flows data. (2014). Ülkü, Numan ; Ulku, Numan ; Karpova, Yekaterina .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:29:y:2014:i:c:p:150-169.

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  10. International capital flows under dispersed private information. (2014). van Wincoop, Eric ; Tille, Cédric.
    In: Journal of International Economics.
    RePEc:eee:inecon:v:93:y:2014:i:1:p:31-49.

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  11. Home Bias in Open Economy Financial Macroeconomics. (2013). Rey, Helene ; Coeurdacier, Nicolas.
    In: Sciences Po publications.
    RePEc:spo:wpmain:info:hdl:2441/1shj1p7td8e0r5c9fcsnk8a91.

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  12. Investors information advantage and order choices in an order-driven market. (2013). Tsai, Shih-Chuan.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:21:y:2013:i:1:p:932-951.

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  13. Gross capital flows: Dynamics and crises. (2013). Schmukler, Sergio ; Erce, Aitor ; Didier, Tatiana ; Broner, Fernando.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:60:y:2013:i:1:p:113-133.

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  14. Home Bias in Open Economy Financial Macroeconomics. (2013). Rey, Helene ; Coeurdacier, Nicolas.
    In: Journal of Economic Literature.
    RePEc:aea:jeclit:v:51:y:2013:i:1:p:63-115.

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  15. Gross capital flows: Dynamics and crises. (2012). Schmukler, Sergio ; Erce, Aitor ; Didier, Tatiana ; Broner, Fernando.
    In: Economics Working Papers.
    RePEc:upf:upfgen:1227.

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  16. Private Information, Capital Flows, and Exchange Rates. (2012). Gyntelberg, Jacob ; Loretan, Mico ; Tientip, Subhanij .
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2012/213.

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  17. Equity order flow and exchange rate dynamics. (2012). Ferreira Filipe, Sara.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:19:y:2012:i:3:p:359-381.

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  18. Home Bias in Open Economy Financial Macroeconomics. (2012). Rey, Helene ; Coeurdacier, Nicolas.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:8746.

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  19. Stocks, bonds, money markets and exchange rates: measuring international financial transmission. (2011). Rigobon, Roberto ; Fratzscher, Marcel ; Ehrmann, Michael.
    In: Journal of Applied Econometrics.
    RePEc:wly:japmet:v:26:y:2011:i:6:p:948-974.

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  20. Home Bias in Open Economy Financial Macroeconomics. (2011). Rey, Helene ; Coeurdacier, Nicolas.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:17691.

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  21. U.S. International Equity Investment and Past and Prospective Returns. (2011). Wongswan, Jon ; Warnock, Francis ; Thomas, Charles ; CharlesP. Thomas, ; Curcuru, Stephanie E..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:16677.

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  22. U.S. international equity investment and past prospective returns. (2011). Wongswan, Jon ; Warnock, Francis ; Thomas, Charles ; CharlesP. Thomas, ; Curcuru, Stephanie E..
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:1016.

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  23. International fund investment and local market returns. (2011). Zheng, Huanhuan ; Wongswan, Jon ; Jinjarak, Yothin.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:3:p:572-587.

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  24. Trade Credit and International Return Comovement. (2011). Watugala, Sumudu ; Ramadorai, Tarun ; Albuquerque, Rui.
    In: CEPR Discussion Papers.
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  25. US International Equity Investment and Past and Prospective Returns. (2011). Wongswan, Jon ; Warnock, Francis ; Thomas, Charles ; Curcuru, Stephanie E. ; CharlesP. Thomas, .
    In: American Economic Review.
    RePEc:aea:aecrev:v:101:y:2011:i:7:p:3440-55.

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  26. Home bias in open economy financial macroeconomics. (2010). Rey, Helene ; Coeurdacier, Nicolas.
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  27. Home bias in open economy financial macroeconomics. (2010). Rey, Helene ; Coeurdacier, Nicolas .
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  28. International order flows: Explaining equity and exchange rate returns. (2010). Moore, Michael ; Hau, Harald ; Dunne, Peter.
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  29. Monetary Policy Shocks and Portfolio Choice. (2010). Straub, Roland ; Saborowski, Christian ; Fratzscher, Marcel.
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  31. Disconnect and Information Content of International Capital Flows: Evidence and Theory. (2009). Tille, Cédric ; van Wincoop, Eric.
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  33. Global private information in international equity markets. (2009). Schneider, Martin ; Bauer, Gregory ; Albuquerque, Rui.
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  34. An Empirical Examination of Bilateral Interaction Between Foreign Investors’ Trading and Returns in Turkey. (2009). Baklaci, Hasan F..
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  37. The information content of market liquidity: An empirical analysis of liquidity at the Oslo Stock Exchange?. (2009). Skjeltorp, Johannes ; Ødegaard, Bernt.
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  38. Private information, stock markets, and exchange rates. (2009). Loretan, Mico ; Gyntelberg, Jacob ; Chan, Eric ; Subhanij, Tientip .
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  39. International Capital Flows under Dispersed Information: Theory and Evidence. (2008). van Wincoop, Eric ; Tille, Cédric.
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  40. Information Acquisition and Under-Diversification. (2008). Veldkamp, Laura ; Van Nieuwerburgh, Stijn.
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  41. International Capital Flows under Dispersed Information: Theory and Evidence. (2008). van Wincoop, Eric ; Tille, Cédric.
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  42. Understanding the Forward Premium Puzzle: A Microstructure Approach. (2007). Rebelo, Sergio ; Eichenbaum, Martin ; Burnside, Craig.
    In: NBER Working Papers.
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  43. Do Foreign Investors chase or Impact Returns in Turkey?. (2007). Baklaci, Hasan F..
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  45. Understanding the Forward Premium Puzzle: A Microstructure Approach. (2007). Rebelo, Sergio ; Eichenbaum, Martin ; Burnside, Craig.
    In: CEPR Discussion Papers.
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  46. The monetary origins of asymmetric information in international equity markets. (2006). Vega, Clara ; Bauer, Gregory.
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  47. Global Private Information in International Equity Markets. (2006). Schneider, Martin ; Albuquerque, Rui ; Bauer, Gregor H.
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  49. Asymmetric information and the lack of international portfolio diversification. (2005). Hatchondo, Juan.
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  50. Characterizing Asymmetric Information in International Equity Markets. (2004). Schneider, Martin ; Bauer, Gregory ; Albuquerque, Rui.
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  51. Information Markets and the Comovement of Asset Prices. (2004). Veldkamp, Laura.
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  52. Advance Information and Asset Prices. (2001). Miao, Jianjun ; Albuquerque, Rui.
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