Day-of-week effects in tests of forward foreign exchange rate unbiasedness
研究了远期汇率报价日和对应即期汇率交割日星期几对远期溢价系数估计的系统性影响，发现点估计与假设一致但标准误大，结论存疑。
The day of the week on which the forward rate is quoted and the day of the week on which the corresponding one-period ahead spot rate matched to the delivery date of the forward contract is quoted may play a systematic role in the empirical estimates of the coefficient on the forward premium in tests of forward foreign exchange rate unbiasedness. These ‘day-of-week’ effects are motivated from an inventory carrying cost argument as in Bessembinder (1994) and introduced into a simple model for forward foreign exchange market efficiency. Empirical results show that the point estimates are generally consistent with the hypotheses; however, large standard errors make discriminatory power weak and conclusions regarding the role of inventory carrying costs in the magnitude of the forward premium bias debatable. Copyright © 1999 John Wiley & Sons, Ltd.