The empirical rejection of the unbiasedness hypothesis is a well-recognized puzzle among finance researchers. Empirical evidence for cointegration between the forward rate and the future spot rate is mixed. Researchers have published papers demonstrating empirical failure of the hypothesis by conducting regression analyses of the realized changes in spot exchange rates on forward premiums and finding negative slope coefficients. These researchers offer numerous rationales for such failure. One rationale centers around the relaxation of risk neutrality, while still assuming rational expectations, such that a foreign exchange risk premium may exist that can account for differences between the forward rate and the future spot rate.