Currency Risk Premiums Redux
用资产定价方法研究大量货币的截面数据，发现定价核包含三个潜在因子，且只有少数非交易因子有显著风险溢价，主要与波动性、不确定性和流动性相关。
Abstract We study a large currency cross-section using asset pricing methods that account for omitted-variable and measurement-error biases. First, we show that the pricing kernel includes at least three latent factors that resemble (but are not identical to) a strong U.S. “dollar” factor and two weak high Sharpe ratio “carry” and “momentum” slope factors. Evidence for an additional “value” factor is weaker. Second, using this pricing kernel, we find that only a small fraction of the over 100 nontradable candidate factors considered have a statistically significant risk premium, mostly relating to volatility, uncertainty, and liquidity conditions, rather than macro variables. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.