Tests of rational expectations and no risk premium in forward exchange markets

Journal Article

This paper tests the simple efficiency hypothesis, i.e. that traders have rational expectations and charge no risk premium in the forward exchange market. It uses a statistical procedure which is consistent under a large class of heteroscedasticity, and a set of data which takes into account the institutional features of the forward exchange market. The results show that this procedure leads to stronger rejections of the simple efficiency hypothesis than do procedures using the standard assumption of homoscedasticity. © 1984.

Full Text

Duke Authors

Cited Authors

  • Hsieh, DA

Published Date

  • January 1, 1984

Published In

Volume / Issue

  • 17 / 1-2

Start / End Page

  • 173 - 184

International Standard Serial Number (ISSN)

  • 0022-1996

Digital Object Identifier (DOI)

  • 10.1016/0022-1996(84)90013-8

Citation Source

  • Scopus