Equity tail risk and currency risk premiums
نویسندگان
چکیده
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 premium because they hedge against risk. A portfolio buys with high beta and shorts those extracts global component factor. The estimated price this novel consistently negative carry momentum portfolios, portfolios other asset classes, suggesting excess returns these strategies can be partially understood as compensations for
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ژورنال
عنوان ژورنال: Journal of Financial Economics
سال: 2022
ISSN: ['1879-2774', '0304-405X']
DOI: https://doi.org/10.1016/j.jfineco.2021.05.020