The Forex Forward Puzzle: The Career Risk Hypothesis
研究提出外汇远期谜题可能源于职业风险，专业投资者在观察到货币危险信号时会要求溢价，并在汇率机制数据中找到证据，通过非线性Fama回归和分解远期溢价验证了职业风险溢价的存在。
Abstract We conjecture that the forward puzzle may reflect career risks. When professional investors observe public danger signals about a currency, they require a premium for holding it. We find evidence of this in Exchange Rate Mechanism rates. As deep discounts do signal danger, we next specify nonlinear variants of the Fama regression to capture this risk. We also decompose the forward premium into a long‐memory trend and short‐term component. We find empirical evidence for a career risk premium; risk is in fact dominant in the trend component while the short‐term component loads more on expectations. All confidence intervals are calculated via Monte Carlo.