The forward bias: is it a money tree?

摘要: Abstract This paper examines the forward discount anomaly, i.e. fact that exchange rate is a biased predictor of future spot rate. We run series rolling regressions which we use to predict value based upon this bias. show average return from an investment strategy on bias in rates many cases insignificantly different zero. In other cases, however, significantly positive. Hence in-sample does not necessarily lead money-making for all currencies.