| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5084812 | International Review of Financial Analysis | 2015 | 9 Pages |
Abstract
In this paper we take the forward premium and exchange rate literature forward by asking whether data frequency matters in that relationship. We use four frequencies of data, namely, quarterly, monthly, weekly and daily. We find that data frequencies matter both statistically and economically. More specifically, we document that investors prefer the forward premium model over a constant returns model in most countries when models are estimated using daily, weekly, and quarterly data, but not when using monthly data.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Paresh Kumar Narayan, Susan Sunila Sharma,