文章基本信息

标题：An Obdurate Trading Strategy Perspective on the Forward Premium Anomaly
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作者：Richard T. Baillie ; Sanders S. Chang
期刊名称：Quantitative and Qualitative Analysis in Social Sciences
印刷版ISSN：1752-8925
出版年度：2008
卷号：2
期号：2
页码：25-44
出版社：Quantitative and Qualitative Analysis in Social Sciences
摘要：The forward premium anomaly continues to be one of the most central and intriguingmysteries of international finance. A resolution of the paradox would potentially open averitable Pandora's Box of rich o.erings in terms of the understanding of the nature ofhome country bias phenomena, the possible role of risk in forward FX markets and theactions of heterogenous traders. This paper considers some new interpretations of thenotorious anomaly in terms of Time Varying Parameter (TVP) models vis a vis di.erentnumeraire currencies, and the possible economic and financial reasons for this behavior.Particular attention is focused on the type of parameter instability that is apparent inthe anomaly and the economic and financial trading motivations that are responsiblefor its presence. Clearly, the existence of the anomaly may be due to either a timevarying risk premium, or the possibility of obdurate short term trading positions, or acombination of these and other factors. The emphasis in this paper is directed towardsthe possibility of an obdurate approach which bets against the market in the short run.The particular vehicle for understanding the phenomenon in this study is momentumtrading strategies; and the paper presents some economic reasons and empirical findingsin support of the proposition