Forward and Futures Prices: Evidence from the Foreign Exchange Markets
检验了Cornell和Reinganum关于外汇期货与远期价格差异不显著的结论，指出其测试中交割日期匹配和时间段选择的问题，但修正后结论不变：逐日盯市对货币期货定价影响不显著。
ABSTRACT C ornell and R einganum (1981) , hereafter CR, report that price differentials for future contracts and forward contracts are statistically insignificant in foreign exchange markets. Based on this finding, CR conclude that marking‐to‐market is insignificant in the formulation of currency futures prices. This note identifies two potential concerns with the CR tests. One problem relates to the timing of delivery dates for “matched” contracts. A second problem relates to the time period for the CR study. We show that correcting for these problems does not affect the overall conclusions of the CR study; marking‐to‐market does not appear to have a significant effect on currency futures prices.