The Term Structure of Currency Futures' Risk Premia
研究发现远期溢价之谜是危机前现象，且仅出现在约1个月以上的期限；风险暴露差异能解释货币超额收益的横截面差异，但仅适用于中长期限。
Abstract The use of futures instead of forwards exchange contracts completes the maturity spectrum of the correlation between spot yields and the premium. We find that the forward premium puzzle appears to be a precrisis phenomenon and is only observed for maturities longer than about 1 month. Differences in the exposure to risk help to explain cross‐sectional spreads in currency excess returns. However, this only applies for medium and longer maturities. Considering that most studies that test the validity of a risk‐based approach to currency excess returns focus on short maturity securities, this explains why this approach is so often rejected.