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A Sentiment-Based Explanation of the Forward Premium Puzzle

Yu, Jianfeng - 2015

A sentiment-based model of the exchange rate is proposed to understand the forward premium puzzle. Agents over- or underestimate the growth rate of the economy. All else equal, when perceived domestic growth is higher than perceived foreign growth, the domestic interest rate is higher than the...

Persistent link: https://www.econbiz.de/10013039206

A Survey on the Determination of Nominal Exchange Rate for USD vis-à-vis INR

Pillin, Punit - 2018

In this paper, I have investigated the out of sample forecast performance for a case study on the determination of the nominal exchange rate for USD vis-à-vis IN¬R under VEC, VAR (in first difference) and Bayesian VAR specification with the help of set of economic theories. The forecast...

Persistent link: https://www.econbiz.de/10012910274

Wave Function Method to Forecast Foreign Currencies Exchange Rates at Ultra High Frequency Electronic Trading in Foreign Currencies Exchange Markets

Ledenyov, Dimitri - 2015

exchange rates dynamics in the foreign currencies exchange markets in the classic finances theory; 3) the description on the … theory; 4) the derivation of the time dependent/time independent wave equation in the quantum finances theory; 5) the …/time independent wave equation in the quantum finances theory; 6) the discussion on the developed software program with the embedded …

Persistent link: https://www.econbiz.de/10013013057

Information Spillovers and Predictable Currency Returns : An Analysis via Machine Learning

Jia, Yuecheng - 2020

This paper employs the post — Least Absolute Shrinkage and Selection Operator (post — LASSO) to make rolling 1-month--ahead currency excess return forecasts using all other currencies' lagged forward discounts as candidate predictors. The trading strategy of buying (selling) quintile...

Persistent link: https://www.econbiz.de/10012850361

Forecast in Capital Markets

Ledenyov, Dimitri - 2016

Persistent link: https://www.econbiz.de/10012987861

On the Definition of Discount Rates in a Multi-Period Equity Valuation Setting

Meitner, Matthias - 2012

The discount rate is one of the most critical variables in every equity valuation. Against this background it is surprising that so far there is no generally accepted definition of this term. Literature provides quite different definitions: expected returns, conditionally expected returns or...

Persistent link: https://www.econbiz.de/10013112572

Discounting Restricted Securities

Umar, Tarik - 2020

We examine the costs of trading restrictions by exploiting an SEC rule change that eliminates a 60-day restriction period in private placements for small issuers. Using a difference-indifferences specification, we find that the restriction is binding, as turnover increases by 30% following its...

Persistent link: https://www.econbiz.de/10012838918

Competition, Profitability, and Discount Rates

Dou, Winston - 2020

We build an asset-pricing model with dynamic strategic competition to explain the strong joint fluctuations in aggregate discount rates, competition intensity, profitability, and asset prices. Product market competition endogenously intensifies as discount rates rise, because firms compete more...

Persistent link: https://www.econbiz.de/10012850510

Technology Adoption and Long Discount Rates

Prieto, Rodolfo - 2020

This paper studies long discount rates in a dynamic asset pricing model with a production side with multiple technologies. It introduces an R&D decision that endogenizes technological change while reproducing key features of the long-run risk literature. A pricing formula for capital strips is...

Persistent link: https://www.econbiz.de/10012852590

SOFR and €STR Discounting : Forward Convexity from Discount-Rate Transition

Rosen, Jonathan - 2019

also allows continuous construction of the forward curve in a way that is convexity-free up to and beyond the discounting …

Persistent link: https://www.econbiz.de/10012859626