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Journal ArticleDOI

Forward and spot exchange rates

Eugene F. Fama
- 01 Nov 1984 - 
- Vol. 14, Iss: 3, pp 319-338
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TLDR
In this paper, the authors find that most of the variation in forward rates is variation in premium, and the premium and expected future spot rate components of forward rates are negatively correlated, and they conclude that the forward market is not efficient or rational.
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This article is published in Journal of Monetary Economics.The article was published on 1984-11-01. It has received 2217 citations till now. The article focuses on the topics: Forward exchange rate & Forward premium anomaly.

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Citations
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An investigation of Forex market efficiency based on detrended fluctuation analysis: A case study for Iran

TL;DR: In this paper, the detrended fluctuation analysis (DFA) technique was used to test the Iranian Rial/US Dollar exchange rate time series data to see if it can be explained by the weak form of the EMH.
Journal ArticleDOI

On exchange rates, nominal and real

TL;DR: This paper developed an Australian commodity currency exchange rate model, which is extended to deal with real exchange rates as well, and tested on Swiss data for the post-Bretton Woods period.
Journal ArticleDOI

Timing exchange rates using order flow: The case of the Loonie

TL;DR: The authors examined the relationship between the Canadian dollar/US dollar exchange rate and foreign exchange order flow employing a novel data set on CAD order flow over the period 1994-2005 and found that order flow has strong out-of-sample predictive power for CAD returns.
Journal ArticleDOI

Currency Hedging for International Portfolios

TL;DR: In this paper, the authors examined the benefits of hedging the currency exposure of international investments in single and multi-country equity and bond portfolios from the perspectives of German, Japanese, British and American investors.
Journal ArticleDOI

Empirical analysis on the predictors of future spot rates

TL;DR: In this paper, the authors examined the issue of the prediction of future spot rates by applying the seemingly unrelated regression technique to four major currencies using data from January 1974 to September 1982.
References
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Journal ArticleDOI

Capital asset prices: a theory of market equilibrium under conditions of risk*

TL;DR: In this paper, the authors present a body of positive microeconomic theory dealing with conditions of risk, which can be used to predict the behavior of capital marcets under certain conditions.
Book ChapterDOI

The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets

TL;DR: In this article, the problem of selecting optimal security portfolios by risk-averse investors who have the alternative of investing in risk-free securities with a positive return or borrowing at the same rate of interest and who can sell short if they wish is discussed.
Journal ArticleDOI

An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias

TL;DR: In this paper, a method of estimating the parameters of a set of regression equations is reported which involves application of Aitken's generalized least-squares to the whole system of equations.
Journal ArticleDOI

Asset prices in an exchange economy

Robert E. Lucas
- 01 Nov 1978 - 
TL;DR: In this article, the authors examine the stochastic behavior of equilibrium asset prices in a one-good, pure exchange economy with identical consumers, and derive a functional equation for price as a function of the physical state of the economy.
Journal ArticleDOI

An intertemporal asset pricing model with stochastic consumption and investment opportunities

TL;DR: In this paper, the authors derived a single-beta asset pricing model in a multi-good, continuous-time model with uncertain consumption-goods prices and uncertain investment opportunities.
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