Beating the Foreign Exchange Market
通过统计检验发现，在管理浮动汇率制早期存在的过滤规则利润在后期仍然持续，且不能由恒定风险溢价解释，对研究外汇市场有效性的学者有参考价值。
Filter rule profits found in foreign exchange markets in the early days of the current managed float persist in later periods, as shown by statistical tests developed and implemented here. The test is consistent with, but independent of, a wide variety of asset pricing models. The profits found cannot be explained by risk if risk premia are constant over time. Inclusion of the home-foreign interest rate differential in computing profits has little effect on the comparison of filter returns to those of buy-and-hold.