Foreign Currency Returns and Systematic Risks
应用跨期资本资产定价模型（ICAPM）的经验近似，发现货币回报的横截面差异可由其对市场回报现金流新闻成分的敏感性差异来解释，这有助于同时解释股票和货币的平均回报。
Abstract We apply an empirical approximation of the intertemporal capital asset pricing model (ICAPM) to show that cross-sectional dispersion in currency returns can be rationalized by differences in currency excess returns’ sensitivities to the market return’s cash-flow news component. This finding echoes recent explanations of the value and growth stock market anomaly. The distinction between cash-flow news and discount-rate news is key to jointly explain average stock and currency returns. Our analysis reveals the presence of a common source of systematic risk in stock and foreign currency returns that is reflected in the market return’s cash-flow news component.