Li, Jing; Miller, Norman C. - In: Journal of International Financial Markets, … 34 (2015) C, pp. 311-320
This paper develops a perfectly general non-linear Uncovered Interest Parity, UIP, framework with foreign exchange (fx) market inefficiency. The latter means that there is always some “unexploited profit” which tends to generate a negative value for Fama's beta coefficient. However, as ID...