Investor Overconfidence and the Forward Premium Puzzle

被引：49

作者：

Burnside, Craig ^{[1
]}

Han, Bing ^{[2
]}

Hirshleifer, David ^{[3
]}

Wang, Tracy Yue ^{[4
]}

机构：

[1] Duke Univ, Durham, NC 27706 USA

[2] Univ Texas Austin, Austin, TX 78712 USA

[3] Univ Calif Irvine, Irvine, CA USA

[4] Univ Minnesota, Minneapolis, MN 55455 USA

来源：

REVIEW OF ECONOMIC STUDIES | 2011年 / 78卷 / 02期

基金：

美国国家科学基金会;

关键词：

Investor overconfidence; Exchange rates; Forward bias; Carry trade; PPP; Money supply; Monetary policy; F31; G12; G14; G15; UNCOVERED INTEREST PARITY; MONETARY-POLICY; FOREIGN-EXCHANGE; MONEY DEMAND; RATIONAL-EXPECTATIONS; DISCOUNT PUZZLE; RISK PREMIUM; OPEN-ECONOMY; INFLATION; PRICE;

D O I：

10.1093/restud/rdq013

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We offer an explanation for the forward premium puzzle in foreign exchange markets based upon investor overconfidence. In the model, overconfident individuals overreact to their information about future inflation, which causes greater overshooting in the forward rate than in the spot rate. Thus, when agents observe a signal of higher future inflation, the consequent rise in the forward premium predicts a subsequent downward correction of the spot rate. The model can explain the magnitude of the forward premium bias and several other stylized facts related to the joint behaviour of forward and spot exchange rates. Our approach is also consistent with the availability of profitable carry trade strategies.

引用

页码：523 / 558

页数：36

共 74 条

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