Currency Value
研究基于实际汇率的货币价值策略，发现实际汇率能预测货币超额收益，但调整国家特定基本面因素后预测力更强，且该信息不同于利差和动量策略。
We assess the properties of currency value strategies based on real exchange rates. We find that real exchange rates have predictive power for the cross-section of currency excess returns. However, adjusting real exchange rates for key country-specific fundamentals (productivity, the quality of export goods, net foreign assets, and output gaps) better isolates information related to the currency risk premium. In turn, the resultant measure of currency value displays considerably stronger predictive power for currency excess returns. Finally, the predictive information content in our currency value measure is distinct from that embedded in popular currency strategies, such as carry and momentum. Received June 26, 2015; accepted June 8, 2016 by Editor Stefan Nagel.