In this article, we investigate expectations concerning Scandinavian exchange rates with the aid of a survey dataset containing market participants' forecasts of the exchange rates. Our findings indicate that formal tests of forward discount bias do not always result in statistically significant rejections. This contrasts with most of the results reported in the literature, which typically demonstrate sound rejections of unbiasedness. Our tests of rational expectations demonstrate significant irrationality in many, but not all, cases. Alternative explanations of the rejections focus on peso problems and learning about policy changes. Tests of perfect substitutability indicate the significant presence of time-varying risk premia for all pairs of currencies studied, and almost all horizons.