Forecasting Currency Excess Returns: Can the Forward Bias Be Exploited?
发现，虽然远期溢价无法通过均方预测误差标准来预测货币超额收益，但它具有方向预测能力，利用这一方向预测进行交易可获得统计上显著的利润。
Abstract The forward bias anomaly implies that currency excess returns are predictable by the forward premium. Yet, recent studies suggest that statistical inference problems may spuriously account for this predictability. This article demonstrates that while currency excess returns are not predictable out of sample using a standard mean square forecast error criterion, the forward premium nonetheless has directional predictability. This directional forecasting accuracy translates into statistically significant profits from trading on the forward bias anomaly.