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澳洲论文不会写:远期溢价之谜的综合解释

在研究人员提出的模型中,发现远期溢价之谜可以通过投资者的过度自信在外汇市场中得到解释和解决。在该模型中,投资者往往对未来通胀相关信息反应过度,导致远期利率与现货利率之间存在较大的超调。因此,远期溢价显示了在即期汇率内的过度反应,并预测了接下来的修正。当常规效应被过度反应修正效应所主导时,就会出现正向溢价偏差。

澳洲论文不会写:远期溢价之谜的综合解释

该模型进一步暗示,在投资者过度信心上升的时期内,远期溢价倾向日益明显。过度自信导致的过度反应与高收益波动性、估值的大跨公司分散、强劲的收益逆转和动量以及高成交量有关(Ho and Mo, 2016)。研究发现,短期和长期债券收益率的差异可以预测债券的收益率。因此,可以通过发现过度自信,包括基于债券收益率差异的收益率可预测性,来解决远期溢价之谜(Hassan and Mano, 2014)。这说明过度自信被认为是外汇市场远期溢价之谜异常现象的综合解释。

澳洲论文不会写:远期溢价之谜的综合解释

In one of the models presented by the researchers, it is found that forward premium puzzle can be explained and solved within the foreign exchange markets on the basis of the overconfidence of the investors . In this model, it is surfaced that the investors tend to overreact over the future inflation related information that resulted in the high overshooting within the forward rate as compared with the spot rate. Therefore, the forward premium showcased the overreaction within the spot rate and forecast the following correction. The results of the forward premium bias occur when the conventional effect is dominated by the effect of overreaction correction .

澳洲论文不会写:远期溢价之谜的综合解释

It is further implied by the model that forward premium bias are increasingly pronounced within the periods where the overconfidence of investors rises. The overreaction induced by the overconfidence is linked with the high return volatility, large cross firm dispersion of valuation, strong return reversals and momentum and the high volume of trading (Ho and Mo, 2016). It is found that the differentials of yield among the short and long term bonds forecast the returns of bond. Therefore, the forward premium puzzle can be solved through the finding of overconfidence including the predictability of return on the basis of the yield differentials of bond (Hassan and Mano, 2014). This provided with the understanding that the overconfidence is regarded to be the integrated explanation of the forward premium puzzle anomalies in the foreign market exchange.