匯率預期理論在過去的實證研究之中，大多數的學者的研究結果是拒絕此理論的。而造成匯率偏差存在的主要原因根據Froot and Frankel（1989）的研究，可以分為風險溢酬以及匯率誤差。過去研究大多針對風險溢酬當作主要探討的對象，因此本研究針對於預測誤差的部分來進行深入的探討，利用加幣、歐元、英鎊、日圓、澳幣和瑞士法郎等國貨幣對於美元之匯率來進行研究；並且投資者情緒之代理變數是從消費者信心指數之中篩選得出，進而觀察投資者情緒是否為造成預測誤差之重要因素。結果顯示，匯率預期假說的預期錯誤，並且六個月預測期間和三個月預測期間相比，在預測誤差上六個月預測期間受到投資者情緒的影響的結果較為顯著。2008年發生的金融海嘯事件，對於預測誤差亦有顯著的影響。 In past studies, most scholars’ research deny the exchange rate expectation theory. According to Froot and Frankel (1989), the main reason causes the bias existing is from two aspects: risk premium and exchange rate error. Past studies aim at risk premium as the dependent variable, however, in this study, we focus on an in-depth investigation on forecasting error by adopting exchange rates of Canadian collars, Euro dollars, British pounds, Japanese yen, Australian dollar, and Swiss franc to U.S. dollar. In addition, investors’ emotion is procedure from consumer confidence index and examine whether the investors’ emotion is an important factor leading to forecasting error or not. The empirical results suggest that expectation from the expectation theory is wrong. Moreover, forecasting error on six-month-period is more severely influenced by investors’ emotion than three-month-period. At last, the financial crisis in 2008 also has a significant impact on forecasting error.
