Jumps in foreign exchange spot rates and the informational efficiency of currency forwards
研究发现货币远期溢价能显著预测即期汇率变动，正常时期远期引领价格发现，但波动时期即期领先，且正向跳跃削弱远期的信息效率，远期溢价谜题与跳跃驱动的定价低效有关。
Abstract In this paper, we show that forward premiums are significant predictors of innovations in currency spot rates, and currency forward rates lead to price discovery during normal trading periods. Conversely, currency spot rates lead to price discovery during volatile periods. This finding is linked to investors' overreaction to information, which in turn induces jumps in the currency spot rate; positive jumps weaken the contribution of the forward rate to price discovery and their informational efficiency. We also find that the forward premium puzzle is linked to jump‐driven pricing inefficiencies.