Foreign Exchange Volatility Is Priced in Equities
发现标准资产定价模型无法解释外汇期货期权购买导致的显著负向Delta对冲误差，但外汇波动性确实影响股票收益，日元/美元汇率波动性可预测股票收益时间序列并在截面中被定价。
This paper finds that standard asset pricing models fail to explain the significantly negative delta hedging errors that occur as a result of the purchase of options on foreign exchange futures. Foreign exchange volatility does influence stock returns, however. The volatility of the JPY/USD exchange rate predicts the time series of stock returns and is priced in the cross‐section of stock returns.