Abstract

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.

Full Text
Published version (Free)

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call