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Risk, policy rules, and noise : rethinking deviations from uncovered interest parity

Mark, Nelson C.; Wu, Yangru - 1996

This paper investigates why the forward premium predicts the future depreciation with the "wrong" sign and why the unobserved deviation from rational uncovered interest parity is negatively correlated with and is more volatile than the rationally expected depreciation. We examine the ability of...

Persistent link: https://www.econbiz.de/10010336366

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Limited attention, share repurchases, and takeover risk

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