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| Liang Ding and Linh To |
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| ''The Forward Premium Puzzle Across Maturities'' |
| ( 2010, Vol. 30 No.2 ) |
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| 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. |
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| Keywords: forward premium puzzle; maturity; GMM |
JEL: F3 - International Finance: General
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| Manuscript Received : Feb 01 2010 | | Manuscript Accepted : Apr 27 2010 |
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