货币风险溢价

IF 6.8 1区经济学 Q1 BUSINESS, FINANCE

Review of Financial Studies Pub Date : 2023-06-02 DOI:10.1093/rfs/hhad049

Federico Nucera, Lucio Sarno, Gabriele Zinna

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引用次数: 0

摘要

我们使用资产定价方法研究了一个大的货币横截面，该方法考虑了遗漏的变量和测量误差偏差。首先，我们证明了定价核心至少包括三个潜在因素，它们类似于（但不完全相同）强势的美元因素和两个弱势的高夏普比“进位”和“动量”斜率因素。附加“价值”因素的证据较弱。其次，使用这个定价内核，我们发现在所考虑的100多个不可交易的候选因素中，只有一小部分具有统计学意义的风险溢价，主要与波动性、不确定性和流动性条件有关，而不是宏观变量。

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Currency Risk Premiums Redux

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.

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来源期刊

Review of Financial Studies Multiple-

CiteScore

16.00

自引率

2.40%

发文量

期刊介绍： The Review of Financial Studies is a prominent platform that aims to foster and widely distribute noteworthy research in financial economics. With an expansive editorial board, the Review strives to maintain a balance between theoretical and empirical contributions. The primary focus of paper selection is based on the quality and significance of the research to the field of finance, rather than its level of technical complexity. The scope of finance within the Review encompasses its intersection with economics. Sponsoring The Society for Financial Studies, the Review and the Society appoint editors and officers through limited terms.