We study the validity of uncovered interest-rate parity by constructing ultra-long time series that span two centuries. The forward-premium regressions yield positive slope estimates over the whole sample. The estimates become negative only when the sample is dominated by the period of 1980s. We...

This paper investigates the significance of an intertemporal relation between expected returns on countries' stock market portfolios and their risk exposures to the world market portfolio. We find that the intertemporal risk-return relation differs significantly under different currency...