Behavioral finance studies the application of psychology to finance, with a focus on
individual-level cognitive biases. I describe here the sources of judgment and decision …

This chapter surveys recent theoretical and empirical contributions on foreign exchange rate
determination. The chapter first examines monetary models under uncovered interest parity …

We propose a dynamic general equilibrium model of exchange rate determination that
accounts for all major exchange rate puzzles, including Meese-Rogoff, Backus-Smith …

The uncovered interest parity puzzle concerns the empirical regularity that high interest rate
countries tend to have high expected returns on short term deposits. A separate puzzle is …

We provide a broad empirical investigation of momentum strategies in the foreign exchange
market. We find a significant cross-sectional spread in excess returns of up to 10% per …

The downside risk capital asset pricing model (DR-CAPM) can price the cross section of
currency returns. The market-beta differential between high and low interest rate currencies …

Separate literatures study violations of uncovered interest parity (UIP) using regression-
based and portfolio-based methods. We propose a decomposition of these violations into a …

This paper proposes a new explanation for the failure of Uncovered Interest Parity (UIP) that
rationalizes both the classic UIP puzzle and the evidence that the puzzle reverses direction …

This paper studies the time series predictability of currency carry trades, constructed by
selecting currencies to be bought or sold against the US dollar, based on forward discounts …

The current study uses a systematic literature review to summarize and highlight studies on
overconfidence bias in investment decision-making. More specifically, the study synthesizes …