Investor sentiment in the US-dollar:longer-term, nonlinear orientation on PPP

How is it possible that exchange rates move in the long run towards fundamentals, whileprofessionals form consistently irrational exchange rate expectations? We look at this puzzle from adifferent perspective by analyzing investor sentiment in the US-dollar market. First, long-horizonregressions show that investor sentiment is connected with exchange rate returns at longer horizons,i.e. more than two years.[...]

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Year of publication:	2007-09-01
Authors:	Menkhoff, Lukas ; Rebitzky, Rafael R.
Institutions:	Universität <Hannover> / Wirtschaftswissenschaftliche Fakultät
Subject:	Investor \| Wechselkurs \| Regressionsanalyse

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Extent:	28 p. 247 p. application/pdf
Series:	Wirtschaftswissenschaftliche Fakultät der Leibniz Universität Hannover - Diskussionspapiere Nummer 376
Type of publication:	Book / Working Paper
Language:	English
ISSN:	0949-9962
Classification:	F31 - Foreign Exchange ; G14 - Information and Market Efficiency; Event Studies ; Management of financial services: stock exchange and bank management science (including saving banks) ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005867439