This paper examines the forward premium puzzle based on 1-week forward rates across weekdays. The paper finds that Thursday consistently appears to be a special day on which the puzzle disappears, while it is present on other weekdays. In addition to Thursday, Monday is also found to be a similar special day for the Euro. The paper proposes that this Thursday effect (Monday effect for Euro) is caused by monetary announcements released constantly on Tuesday (Thursday) by the FOMC (the European Central Bank). The empirical tests provide convincing evidence in favor of the proposed explanation.
Ding, Liang, "The Thursday Effect of the Forward Premium Puzzle" (2008). Economics Seminar Series. 4.