Equity tail risk and currency risk premiums
研究发现，基于期权的权益尾部风险因子在货币收益的横截面上被定价；暴露程度高的货币因对冲尾部风险而提供较低的风险溢价，该全球因子的风险价格为负，可部分解释套息和动量策略的超额收益。
We find that an option-based equity tail risk factor is priced in the cross section of currency returns; more exposed currencies offer a low risk premium because they hedge against equity tail risk. A portfolio that buys currencies with high equity tail beta and shorts those with low beta extracts the global component in the tail factor. The estimated price of risk of this novel global factor is consistently negative in currency carry and momentum portfolios, and in portfolios of other asset classes, suggesting that excess returns of these strategies can be partially understood as compensations for global tail risk.