Publications [#266732] of David A. Hsieh

Journal Articles

1. Hsieh, DA, Tests of rational expectations and no risk premium in forward exchange markets, Journal of International Economics, vol. 17 no. 1-2 (January, 1984), pp. 173-184, Elsevier BV, ISSN 0022-1996 [doi]
   (last updated on 2026/01/17)

   Abstract:
   This paper tests the simple efficiency hypothesis, i.e. that traders have rational expectations and charge no risk premium in the forward exchange market. It uses a statistical procedure which is consistent under a large class of heteroscedasticity, and a set of data which takes into account the institutional features of the forward exchange market. The results show that this procedure leads to stronger rejections of the simple efficiency hypothesis than do procedures using the standard assumption of homoscedasticity. © 1984.