Alvarez, Fernando, Andrew Atkeson, and Patrick J. Kehoe, 2009, Time-varying risk, interest rates, and exchange rates in general equilibrium, Review of Economic Studies, 76, 851878.
- Bacchetta, Philippe, and Eric van Wincoop, 2006, Incomplete information processing: A solution to the forward discount puzzle, working paper.
Paper not yet in RePEc: Add citation now
Backus, David, Allan Gregory, and Chris I. Telmer, 1993, Accounting for forward rates in markets for foreign currency, Journal of Finance, 48, 1887â1908.
Backus, David, and Gregor Smith, 1993, Consumption and real exchange rates in dynamic exchange economies with non-traded goods, Journal of International Economics 35, 297316.
- Backus, David, Silverio Foresi, and Chris Telmer 2001, Aïne term structure models and the forward premium anomaly, Journal of Finance, 56, 279â304.
Paper not yet in RePEc: Add citation now
Baker, Malcolm, and Jeïrey Wurgler, 2006, Investor sentiment and the cross-section of stock returns, Journal of Finance, 61, 1645â1680.
Baker, Malcolm, Jeïrey Wurgler, and Yu Yuan, 2009, Global, local, and contagious investor sentiment, Working paper, NYU Stern.
Bansal, Ravi, and Amir Yaron, 2004, Risks for the long run: A potential resolution of asset pricing puzzles, Journal of Finance, 59, 1481â1509.
- Bansal, Ravi, and Ivan Shaliastovich, 2009, A Long-Run Risk-based Explanation of Predictability Puzzles in Bond and Currency Markets, working paper.
Paper not yet in RePEc: Add citation now
- Bansal, Ravi, Dana Kiku, and Amir Yaron, 2009, Risks for the long run: Estimation and inference, Working Paper, Duke University and University of Pennsylvania.
Paper not yet in RePEc: Add citation now
Barber, Brad, and Terrance Odean, 2008, All that glitters: The eïect of attention and news on the buying behavior of individual and institutional investors, The Review of Financial Studies 21, 785â818.
Bekaert, Geert, 1996, The Time Variation of Risk and Return in Foreign Exchange Markets: A General Equilibrium Perspective, Review of Financial Studies, 9, 427â470.
Brandt, Michael, John Cochrane, and Pedro Santa-Clara, 2006, International Risk Sharing is Better Than You Think, or Exchange Rates Are Too Smooth, Journal of Monetary Economics 53, 671â698.
- Burnside, Craig, Bing Han, David Hirshleifer, and Tracy Yue Wang, 2011, Investor Overconïdence and the Forward Premium Puzzle, Review of Economic Studies, 78, 523558.
Paper not yet in RePEc: Add citation now
Burnside, Craig, Martin Eichenbaum, and Sergio Rebelo, 2007, Understanding the forward premium puzzle: A microstructure approach, NBER Working paper.
Campbell, John Y. and John H. Cochrane, 1999, By force of habit: A consumption-based explanation of aggregate stock market behavior, Journal of Political Economy 107, 205251.
Cochrane, John H., 1999, New Facts in Finance, Economic Perspectives, Federal Reserve Bank of Chicago, 36-58.
- Colacito, Riccardo, and Mariano M. Croce, 2009, Risk sharing for the long run, Working paper, UNC.
Paper not yet in RePEc: Add citation now
Colacito, Riccardo, and Mariano M. Croce, 2011, Risks for the Long Run and the Real Exchange Rate, Journal of Political Economy, 119, 153-181.
Daniel, Kent, David Hirshleifer, and Avanidhar Subrahmanyam, 2001, Overconïdence, Arbitrage, and Equilibrium Asset Pricing, Journal of Finance 56, 921-965.
De Long, Bradford, Andrei Shleifer, Lawrence H. Summers, and Robert Waldmann, 1990, Positive Feedback Investment Strategies and Destabilizing Rational Speculation. Journal of Finance, 45, 379-395.
Devereux, Michael and Charles Engel, 2007, Expenditure switching versus real exchange rate stabilization: Competing objectives for exchange rate policy, Journal of Monetary Economics, 54, 2346-2374.
Dumas, Bernard, Alexander Kurshev, and Raman Uppal, 2009, Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility. Journal of Finance, 64, 579-629.
Engel, Charles and Kenneth West, 2005, Exchange Rates and Fundamentals, Journal of Political Economy, 113:3, 485-517.
Engel, Charles, 2011, The Real Exchange Rate, Real Interest Rates, and the Risk Premium, working paper, University of Wisconsin.
Epstein, Larry G., and Stanley Zin, 1989, Substitution, risk aversion and the temporal behavior of consumption and asset returns: A theoretical framework, Econometrica, 57, 937â969.
Fama, Eugene and Robert Bliss, 1987, The Information in Long-Maturity Forward Rates. American Economic Review, 77(4), 680â92.
Fama, Eugene, 1984, Forward and Spot Exchange Rates, Journal of Monetary Economics, 14, 319-338.
Fama, Eugene, and Kenneth French, 1988, Dividend yields and expected stock returns, Journal of Financial Economics 22, 3â25.
Farhi, Emmanuel, and Xavier Gabaix, 2008, Rare Disasters and Exchange Rates: A Theory of the Forward Premium Puzzle, working paper.
Frankel, Jeïrey, and Kenneth Froot, 1987, Using survey data to test standard propositions regarding exchange rate expectations, American Economic Review, 77, 133-153.
Frankel, Jeïrey, and Kenneth Froot, 1990a, Chartists, fundamentalists, and trading in the foreign exchange market, American Economic Review, 80, 181-185.
Frankel, Jeïrey, and Kenneth Froot, 1990b, Exchange Rate Forecasting Techniques, Survey Data, and Implications for Foreign Exchange Market, NBER Working Paper No.3470.
Frankel, Jeïrey, and Menzie Chinn, 1993, Exchange Rate Expectations and the Risk Premium: Tests for a Cross Section of 17 Currencies, Review of International Economics, 1, 136-144.
Froot, Kenneth, and Jeïrey A. Frankel, 1989, Forward Discount Bias: Is it an Exchange Risk Premium? Quarterly Journal of Economics, 104, 139-161.
Gourinchas, Pierre-Olivier and Aaron Tornell, 2004, Exchange Rate Puzzles and Distorted Beliefs, Journal of International Economics, 64, 303â333.
Gurdip Bakshi, Peter Carr, and Liuren Wu, 2008, Stochastic Risk Premiums, Stochastic Skewness in Currency Options, and Stochastic Discount Factors in International Economies, Journal of Financial Economics, 87, 132-15 Bansal, Ravi, Robert Dittmar, and Christian Lundblad, 2005 Consumption, Dividends, and the Cross Section of Equity Returns, Journal of Finance, 60, 1639-1672.
Hansen, L. and R. Hodrick, 1980, Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis, Journal of Political Economy 88(5), 829â853.
Hodrick, Robert, 1992, Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement , Review of Financial Studies 5(3), 357â386.
- Holliïeld, Burton, and Amir Yaron, 2003, The foreign exchange risk premium: real and nominal factors, working paper, Carnegie Mellon University and University of Pennsylvania.
Paper not yet in RePEc: Add citation now
- Karlsson, Niklas, George Loewenstein, and Duane Seppi, 2009, The Ostrich Eïect: Selective Attention to Information, Journal of Risk and Uncertainty, 38, 95-115.
Paper not yet in RePEc: Add citation now
Kocherlakota, Narayana, 1990, Disentangling the Coeïcient of Relative Risk Aversion from the Elasticity of Intertemporal Substitution: An Irrelevance Result, Journal of Finance, March 1990, 45 (1), 175â90.
Lustig, Hanno, and Adrien Verdelhan, 2007, The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk, American Economic Review, 97, 89â117.
Lustig, Hanno, Nikolai Roussanov, and Adrien Verdelhan, 2007, Common Risk Factors in Currency Markets, working paper.
Mark, Nelson, and Yangru Wu, 1998, Rethinking Deviations from Uncovered Parity: The Role of Covariance Risk and Noise,â Economic Journal, 108, 1686â1706.
Meredith, Guy and Menzie Chinn, 2004, Monetary Policy and Long-horizon Uncovered Interest Rate Parity, IMF Staï Papers 51(3), 409-430.
Newey, Whitney K., and Kenneth D. West, 1987, A simple, positive semi-deïnite, heteroskedasticity and autocorrelation consistent covariance matrix, Econometrica, 55, 703-708.
Rietz, Thomas, 1988, The Equity Risk Premium: A Solution, Journal of Monetary Economics, 22, 117â131.
- Scheinkman, Jose and Wei Xiong, 2003, Overconïdence and Speculative Bubbles, Journal of Political Economy 111, 1183â1219.
Paper not yet in RePEc: Add citation now
Verdelhan, Adrien, 2009, A Habit-based Explanation of the Exchange Rate Risk Premium, Journal of Finance, forthcoming.
Xiong, Wei, and Hongjun Yan, 2010. Heterogeneous Expectations and Bond Markets, Review of Financial Studies, 23, 1433-1466.
- Yu Yuan, 2008. Investor Sentiment predicts stock returns, working paper, The Wharton School.
Paper not yet in RePEc: Add citation now