How can a product be legitimated when the legitimation process includes another legitimate product as a barrier? To address this matter, we conducted a process theorization through in-depth analysis of interviews and ...

The Forward Premium Puzzle (FPP) is how the empirical observation of a negative relation between future changes in the spot rates and the forward premium is known. Modeling this forward bias as a risk premium and under ...

In this paper we revisit the relationship between the equity and the forward premium puzzles. We construct return-based stochastic discount factors under very mild assumptions and check whether they price correctly the ...

The goal of this paper is to identify the determinants of the risk premium on Brazilian government debt. As the risk premium is a component of the interest rate set by the Brazilian central bank, its reduction would make ...

Using information on US domestic financial data only, we build a stochastic discount factor—SDF— and check whether it accounts for foreign markets stylized facts that escape consumption based models. By interpreting our ...

Verdelhan (2009) shows that if one is to explain the foreign exchange forward premium behavior using Campbell and Cochrane (1999)’s habit formation model one must specify it in such a way to generate pro-cyclical short ...