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Liang Ding and Linh To
 
''The Forward Premium Puzzle Across Maturities''
( 2010, Vol. 30 No.2 )
 
 
This paper tests the forward premium puzzle in a wide range of maturities from 1-day to 5-year. It finds that the forward premium puzzle appears to be most significant for medium maturities, while disappearing for both very short and long maturities.
 
 
Keywords: forward premium puzzle; maturity; GMM
JEL: F3 - International Finance: General
G1 - General Financial Markets: General (includes Measurement and Data)
 
Manuscript Received : Feb 01 2010 Manuscript Accepted : Apr 27 2010

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