Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets
利用无套利持有成本资产定价模型，论证现货与远期（期货）价格协整的条件，解释货币市场与商品市场的实证差异，并检验金融市场上常见的无偏性假设检验方法为何会拒绝原假设。
We use a no-arbitrage, cost-of-carry asset pricing model to show that the existence of coin? tegration between spot and forward (futures) prices depends on the time-series properties of the cost-of-carry. We argue that the conditions for cointegration are more likely to hold in currency markets than in commodity markets, explaining many of the empirical results in the literature. We also use this model to demonstrate why the forward rate forecast error, the basis, and the forward premium are serially correlated, and to develop econometric tests ofthe (sometimes called the simple efficiency hypothesis) in various financial markets. The unbiasedness hypothesis is so prevalent in the finance liter? ature that many tests for it have been developed. We examine four of the common tests and and use our cointegration results to demonstrate why each of these tests should reject the null hypothesis of unbiasedness. We find strong support for our hypothesis in the existing empirical literature.