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

by Robert J. Hodrick

Overview

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.

Product Details

ISBN-13:	9781000950021
Publisher:	CRC Press
Publication date:	08/18/2023
Series:	Fundamentals of Pure and Applied Economics Series
Sold by:	Barnes & Noble
Format:	eBook
Pages:	174
File size:	3 MB

About the Author

Robert J. Hodrick

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