Snaith, Stuart; Coakley, Jerry; Kellard, Neil - In: Journal of Banking & Finance 37 (2013) 9, pp. 3681-3693
This paper provides the first comprehensive study of the horizon effect in tests of the forward rate unbiasedness hypothesis. It estimates Fama regressions employing 1-month through to 10-year horizon data for the five most heavily traded US dollar currency pairs pre-crisis 1980–2006. In...