Friday, August 19, 2011, 8:30-10:15 am; International Finance
FX Risks and Returns - C4

Session Chair: Magnus Dahlquist, Stockholm School of Economics, SIFR

• Properties of Foreign Exchange Risk Premiums PDF
  Lucio Sarno ¹, Paul Schneider², Christian Wagner³
  London City University ¹; University of Warwick²; Vienna University of Economics and Business³
  • Discussant: Andrea Vedolin, London School of Economics

• A Transaction Data Study of The Forward Bias Puzzle PDF
  Francis Breedon¹, Dagfinn Rime², Paolo Vitale³
  University of London - Queen Mary¹; Norges Bank²; University d'Annunzio³
  • Discussant: Tarun Ramadorai, Saïd Business School

• Yield Curve Predictors of Foreign Exchange Returns PDF
  Andrew Ang, Joseph Chen
  Columbia University; University of California - Davis
  • Discussant: Henrik Hasseltoft, University of Zurich