TY - JOUR
T1 - Does data frequency matter for the impact of forward premium on spot exchange rate?
AU - Narayan, Paresh Kumar
AU - Sharma, Susan Sunila
N1 - Publisher Copyright:
© 2015 Elsevier Inc.
Copyright:
Copyright 2015 Elsevier B.V., All rights reserved.
PY - 2015/5
Y1 - 2015/5
N2 - In this paper we take the forward premium and exchange rate literature forward by asking whether data frequency matters in that relationship. We use four frequencies of data, namely, quarterly, monthly, weekly and daily. We find that data frequencies matter both statistically and economically. More specifically, we document that investors prefer the forward premium model over a constant returns model in most countries when models are estimated using daily, weekly, and quarterly data, but not when using monthly data.
AB - In this paper we take the forward premium and exchange rate literature forward by asking whether data frequency matters in that relationship. We use four frequencies of data, namely, quarterly, monthly, weekly and daily. We find that data frequencies matter both statistically and economically. More specifically, we document that investors prefer the forward premium model over a constant returns model in most countries when models are estimated using daily, weekly, and quarterly data, but not when using monthly data.
KW - Data frequency
KW - Exchange rate
KW - Forward premium
KW - Investors
UR - http://www.scopus.com/inward/record.url?scp=84923545070&partnerID=8YFLogxK
U2 - 10.1016/j.irfa.2015.01.011
DO - 10.1016/j.irfa.2015.01.011
M3 - Article
AN - SCOPUS:84923545070
VL - 39
SP - 45
EP - 53
JO - International Review of Financial Analysis
JF - International Review of Financial Analysis
SN - 1057-5219
ER -