Affine term structure models and the forward premium anomaly

Article Abstract:

This article evaluates the tendency for high interest rate currencies to appreciate using the term structure of interest rates. Affine models are used to study premium anomalies which require that state variables affect state prices in different currencies, also nominal interest rates have negative values with positive probability.

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Rationality and analysts' forecast bias

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This article uses a quadratic-loss utility function to model corporate earnings forecasts, using trade off bias to improve forecast accuracy and management access. Results suggest that predictable and positive bias may be a rational part of optimal earnings forecasts.

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The economic value of volatility timing

Article Abstract:

This article examines whether volatility models have explanatory power and economic value, by using conditional mean-variance analysis. Results show that volatility timing strategies are more successful than unconditionally efficient static portfolios.

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