Pricing of foreign exchange rate and interest rate risks using short to long horizon returns
本文检验外汇汇率和利率风险在短至长回报期限是否被定价，发现风险溢价随回报期限延长而增加，且符号取决于暴露贝塔的符号，最长950天回报期限下正负汇率溢价绝对值分别达2.642%和2.050%。
Copyright © 2021 The Author(s). In this paper, we test whether foreign exchange (FX) rate and interest rate (IR) risks are priced at short to long return horizons. We also test whether the associated risk premia relate to certain stock characteristics. Our new evidence indicates that risk premia increase with the length of the return horizon and that the risk premium signs depend on the sign of the corresponding exposure beta. Thus, for our longest return horizon of 950 days, positive (negative) FX rate premia increase in absolute value to 2.642% (–2.050%), whereas positive (negative) IR premia increase to 1.039% (–1.151%). Zero exposure betas have zero risk premia. We find that, depending on the level of profitability, Size, book-to-market-ratio (B/M) and sales-to-stock price ratio (S/P) explain most of the variation in exposure betas and risk premia. Our results imply that investors view exposure betas and risk premia as important factors affecting portfolio returns.