1st Edition
Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets
By Robert J. Hodrick
Copyright 1987
174 Pages
by
CRC Press
190 Pages
by
CRC Press
174 Pages
by
CRC Press
Also available as eBook on:
This book presents a critical review of the empirical literature that studies the efficiency of the forward and futures markets for foreign exchange. It provides a useful foundation for research in developing quantitative measures of risk and expected return in international finance.
1. Introduction 2. Asset Pricing Theory 3. Econometric Tests of the Efficiency Hypothesis: Autocorrelation and Unbiasedness 4. Alternative Interpretations of Rejections of the Unbiasedness Hypothesis 5. Econometric Models of Risk Premiums 6. Evaluation of Forecasts 7. Empirical Investigation of Foreign Currency Futures 8. Conclusions
Biography
Robert J. Hodrick
