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Excess returns in a small open economy
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Gruen, David W. R and Smith, Jeremy (1994) Excess returns in a small open economy. Economic Record, Volume 70 (Number 211). pp. 381-396. doi:10.1111/j.1475-4932.1994.tb01857.x
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Official URL: http://dx.doi.org/10.1111/j.1475-4932.1994.tb01857...
Abstract
This paper presents detailed analysis of a very unusual event —a recent six-year period during which big excess returns were earned on the short-term interest-bearing assets of a small open economy: Australia. A risk premium does not explain the excess return. Rather than requiring a risk premium, market participants continually expected significant real depreciation of the Australian dollar, despite the fact that on average it appreciated in real terms. Our results may be a consequence of the foreign exchange market only gradually learning about the changed nature of the world capital market in the 1980s.
| Item Type: | Journal Article | ||||
|---|---|---|---|---|---|
| Divisions: | Faculty of Social Sciences > Economics | ||||
| Journal or Publication Title: | Economic Record | ||||
| Publisher: | Blackwell | ||||
| ISSN: | 0013-0249 | ||||
| Official Date: | 1994 | ||||
| Dates: |
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| Volume: | Volume 70 | ||||
| Number: | Number 211 | ||||
| Page Range: | pp. 381-396 | ||||
| DOI: | 10.1111/j.1475-4932.1994.tb01857.x | ||||
| Status: | Peer Reviewed | ||||
| Publication Status: | Published | ||||
| Access rights to Published version: | Restricted or Subscription Access |
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