Implied Spot Rates as Predictors of Currency Returns: A Note
利用货币看涨期权数据和Black-Scholes模型推导隐含即期汇率，发现其与观测即期汇率的偏差能显著预测后续货币持有回报，且基于此的交易规则可产生经济利润。
ABSTRACT Currency call option transactions data and the Black‐Scholes option pricing model, as modified by Merton for continuous dividends and as adapted to currency options by Biger and Hull and by Garman and Kohlhagen, are used to imply spot foreign exchange rates. The proportional deviation between implied and simultaneously observed spot rates is found to be a direct and statistically significant determinant of subsequent returns on foreign currency holdings after controlling for interest rate differentials. Further, an ex ante trading rule reveals that the additional information contained in implied rates often is sufficient to generate significant economic profits.