Common Macro Factors and Currency Premia
研究了国内和全球因子对套息、美元套息和动量策略收益的影响，发现全球股市因子预测套息收益，美国通胀和消费因子驱动美元套息收益，动量收益主要由美国通胀因子驱动，且全球因子捕捉了货币溢价的逆周期特性。
We study the role of domestic and global factors in the payoffs of portfolios mimicking carry, dollar-carry, and momentum strategies. Using factors summarizing large data sets of macroeconomic and financial variables, we find that global equity-market factors are predictive for carry-trade returns, whereas U.S. inflation and consumption variables drive dollar-carry-trade payoffs, momentum returns are predominantly driven by U.S. inflation factors, and global factors capture the countercyclical nature of currency premia. We also find predictability in the exchange-rate component of each strategy and demonstrate strong economic value for risk-averse investors with mean-variance preferences, regardless of base currency.