Several recent empirical studies have been forced to reject exact 1:1 cointegration between spot and forward exchange rates. Theoretically, this is shown to provide a possible explanation for the puzzling negative estimates reported from spot-return-forward-premium regressions. In particular, the coefficient in this regression has a unit root component in its limit distribution that imparts a bias and skewness to the estimator. Simulations are used to demonstrate how even very small deviations from 1:1 cointegration can result in substantial bias. The empirical evidence suggests that the implied Dickey-Fuller-type terms do exhibit a downward bias, yet are of insufficient magnitude to fully account for the puzzling regression coefficients mentioned above.