Skewness Risk Premia and the Cross Section of Currency Returns
利用无模型偏度指标，研究发现买入高偏度风险溢价的货币、卖出低偏度风险溢价的货币能获得高收益和高夏普比率，且偏度风险是货币风险的重要定价因素。
Abstract Using model-free skewness measures that exploit the asymmetry in semivariances and option data from the over-the-counter currency market, we find that buying currencies with a high skewness risk premium (SRP) and selling currencies with a low SRP generates high returns and a Sharpe ratio. Asset pricing tests—which control for omitted variables and measurement errors—show that a SRP factor enters the currency pricing kernel and is central to the pricing of risks inherent in a broad currency cross section of 60 portfolio excess returns. These results imply that skewness risk is a strong and priced source of currency risk.