Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets  book cover
1st Edition

Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets




ISBN 9783718604159
Published August 25, 1987 by CRC Press
174 Pages

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Book Description

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.

Table of Contents

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

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Biography

Hodrick, xxx