Article1981

Forward and Futures Prices: Evidence from the Foreign Exchange Markets

183 citations0/0 files storedThe Journal of Finance

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Financial Markets and Investment Strategies Monetary Policy and Economic Impact Stochastic processes and financial applications

Abstract

ABSTRACT Empirical studies of the Treasury Bill markets have revealed substantial differences between the futures price and the implied forward price. These differences have been attributed to taxes, transaction costs, and the settling up procedure employed in the futures market. This paper examines the forward and futures prices in foreign exchange in an attempt to distinguish between the competing explanations.

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