The authors would like to thank Michael Brennan, John Cox, and Jon Ingersoll as well as participants at finance workshops at UC Berkeley and UCLA for helpful comments. Research assistance was provided by Tom Hay.
Forward and Futures Prices: Evidence from the Foreign Exchange Markets
Article first published online: 30 APR 2012
1981 The American Finance Association
The Journal of Finance
Volume 36, Issue 5, pages 1035–1045, December 1981
How to Cite
CORNELL, B. and REINGANUM, M. R. (1981), Forward and Futures Prices: Evidence from the Foreign Exchange Markets. The Journal of Finance, 36: 1035–1045. doi: 10.1111/j.1540-6261.1981.tb01074.x
- Issue published online: 30 APR 2012
- Article first published online: 30 APR 2012
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.