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- W2296225226 abstract "The abrupt market adjustments that usually succeed a long period of positive returns from foreign currency speculation negate the observed deviation from market efficiency known as the ‘forward premium puzzle’, the theoretical underpinning of sustained trading profits. This analysis presents the conjecture that abrupt adjustments support the original hypothesis of zero expected returns. In a mixture of normal distributions, market efficiency seems to manifest itself in abrupt adjustments. The resulting fat tails for single distributions of speculative returns are in line with earlier results, in which nonlinear sensitivities of speculative returns to interest rate differentials sustain profits, only within certain ranges. Outside the ranges where the forward premium anomaly prevails, sustained profits give way to either abnormal growth, or ultimate bust, in a manner that supports efficiency." @default.
- W2296225226 created "2016-06-24" @default.
- W2296225226 date "2011-01-01" @default.
- W2296225226 modified "2023-09-25" @default.
- W2296225226 title "A Mixture of Normals Model of Market Efficiency" @default.
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- W2296225226 doi "https://doi.org/10.2139/ssrn.2296366" @default.
- W2296225226 hasPublicationYear "2011" @default.
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