Table 4. Fama (1984) model estimation... | Emerald Publishing

Table 4.

Fama (1984) model estimation results, three-month forward rate (SE in parentheses)

		$α$			$β$
FX	Period	OLS	Durbin	FGLS	OLS	Durbin	FGLS
US-UK	11/1983–01/2023	−0.00439 (0.004)	−0.00035 (4.1E-04)	0.00001 (3.3E-04)	−0.98614 (0.218)	0.64187 (0.382)	0.29696 (0.278)
US-UK	10/1989–04/2021	−0.00011 (0.004)	−0.00011 (0.001)	0.00018 (0.001)	0.34508 (0.238)	1.25038 (0.474)	1.15847 (0.332)
US-CA	12/1984–01/2023	−0.00036 (0.003)	0.00004 (2.5E-04)	0.00006 (2.1E-04)	−0.21093 (0.218)	0.51211 (0.343)	0.31376 (0.261)
US-CA	10/1989–04/2021	−0.00040 (0.003)	0.00002 (0.001)	−0.00002 (0.001)	0.19149 (0.252)	0.55918 (0.399)	0.31524 (0.301)
US-JP	09/1993–01/2023	−0.00355 (0.005)	−0.00017 (0.001)	−0.00015 (3.3E-04)	−0.10423 (0.138)	0.45446 (0.152)	0.30124 (0.099)
US-JP	09/1993–04/2021	−0.00158 (0.005)	−0.00003 (0.001)	−0.00002 (0.001)	−0.26883 (0.139)	0.49440 (0.157)	0.32649 (0.101)

		$α$			$β$
FX	Period	OLS	Durbin	FGLS	OLS	Durbin	FGLS
US-UK	11/1983–01/2023	−0.00439 (0.004)	−0.00035 (4.1E-04)	0.00001 (3.3E-04)	−0.98614 (0.218)	0.64187 (0.382)	0.29696 (0.278)
US-UK	10/1989–04/2021	−0.00011 (0.004)	−0.00011 (0.001)	0.00018 (0.001)	0.34508 (0.238)	1.25038 (0.474)	1.15847 (0.332)
US-CA	12/1984–01/2023	−0.00036 (0.003)	0.00004 (2.5E-04)	0.00006 (2.1E-04)	−0.21093 (0.218)	0.51211 (0.343)	0.31376 (0.261)
US-CA	10/1989–04/2021	−0.00040 (0.003)	0.00002 (0.001)	−0.00002 (0.001)	0.19149 (0.252)	0.55918 (0.399)	0.31524 (0.301)
US-JP	09/1993–01/2023	−0.00355 (0.005)	−0.00017 (0.001)	−0.00015 (3.3E-04)	−0.10423 (0.138)	0.45446 (0.152)	0.30124 (0.099)
US-JP	09/1993–04/2021	−0.00158 (0.005)	−0.00003 (0.001)	−0.00002 (0.001)	−0.26883 (0.139)	0.49440 (0.157)	0.32649 (0.101)