Beating the Foreign Exchange Market
用统计检验证明，早期管理浮动汇率制下的过滤规则利润在后来的时期依然存在，且不能用恒定风险溢价解释，对研究外汇市场有效性的学者有参考价值。
ABSTRACT Filter rule profits found in foreign exchange markets in the early days of the current managed float persist in later periods, as shown by statistical tests developed and implemented here. The test is consistent with, but independent of, a wide variety of asset pricing models. The profits found cannot be explained by risk if risk premia are constant over time. Inclusion of the home‐foreign interest rate differential in computing profits has little effect on the comparison of filter returns to those of buy‐and‐hold.