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

List 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

About the author

Robert J. Hodrick

Summary

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

• Authors: Robert J. Hodrick, xxx Hodrick
• Publisher: Taylor and Francis
• Content: Book
• Product form: Paperback / Softback
• Publication date: 25.08.1987
• EAN: 9783718604159
• ISBN: 978-3-7186-0415-9
• Pages: 174
• Illustrations: Farb., s/w. Abb.
• Dimensions (packing): 13.8 x 21.6 cm
• Weight (packing): 226 g
• Series: Fundamentals of Pure and Applied Economics Series