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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...

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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:
DateEvent
1994Published
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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