Forward and Futures Prices: Evidence from the Foreign Exchange Markets
利用外汇市场数据，检验期货价格与隐含远期价格差异的几种解释，包括税收、交易成本和期货市场的结算程序。
ABSTRACT Empirical studies of the Treasury Bill markets have revealed substantial differences between the futures price and the implied forward price. These differences have been attributed to taxes, transaction costs, and the settling up procedure employed in the futures market. This paper examines the forward and futures prices in foreign exchange in an attempt to distinguish between the competing explanations.