Investor Overconfidence and the Forward Premium Puzzle

This paper is a substantially revised version of an earlier paper titled "Investor Overconfidence and the Forward Discount Puzzle." We thank an editor, three anonymous referees, Bill Branch, Henry Cao, Mark Chen, Carol Osler, Nagpurnanand Prabhala, Stefan Krause, and seminar participants at Ohio State University, Singapore Management University, Texas Tech, University of California at Davis, University of Maryland, the Washington Area Finance Association Research Conference, the China International Conference in Finance, Shanghai University of Finance and Economics Conference, and the 2009 Western Finance Association Annual Meeting for helpful comments. Burnside is grateful to the National Science Foundation for financial support (SES-0516697). The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

• July 16, 2010