Article ID Journal Published Year Pages File Type
5062287 Economics Letters 2006 6 Pages PDF
Abstract

The forward unbiasedness regression is revisited by varying the prediction horizons from 1 day to 1 year. The panel data suggests some possibility of a positive slope coefficient at a short horizon while the negative coefficient improves forecasting performance at longer horizons.

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Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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Does the prediction horizon matter for the forward premium anomaly? Evidence from panel data
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