Day-of-week effects in tests of forward
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Janice Boucher Breuer
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Article
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1999
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John Wiley and Sons
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English
โ 146 KB
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The day of the week on which the forward rate is quoted and the day of the week on which the corresponding one-period ahead spot rate matched to the delivery date of the forward contract is quoted may play a systematic role in the empirical estimates of the coefficient on the forward premium in test