Investor Overconfidence and the Forward Premium Puzzle
用投资者过度自信来解释外汇市场的远期溢价之谜，模型显示过度自信者对未来通胀信号反应过度，导致远期汇率超调，从而解释了远期溢价偏差和套利交易策略的盈利性。
We offer an explanation for the forward premium puzzle in foreign exchange markets based upon investor overconfidence. In the model, overconfident individuals overreact to their information about future inflation, which causes greater overshooting in the forward rate than in the spot rate. Thus, when agents observe a signal of higher future inflation, the consequent rise in the forward premium predicts a subsequent downward correction of the spot rate. The model can explain the magnitude of the forward premium bias and several other stylized facts related to the joint behaviour of forward and spot exchange rates. Our approach is also consistent with the availability of profitable carry trade strategies.