Conditional risk premia in currency markets and other asset classes

被引：183

作者：

Lettau, Martin ^{[1
,2
]}

Maggiori, Matteo ^{[2
,3
]}

Weber, Michael ^{[4
]}

机构：

[1] Univ Calif Berkeley, Haas Sch Business, Berkeley, CA 94720 USA

[2] NBER, Cambridge, MA 02138 USA

[3] Harvard Univ, Dept Econ, Boston, MA 02115 USA

[4] Univ Chicago, Booth Sch Business, Chicago, IL 60637 USA

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2014年 / 114卷 / 02期

关键词：

Carry trade; Commodity basis; Downside risk; Equity cross section; CONSUMPTION GROWTH RISK; CROSS-SECTION; CARRY TRADE; DISAPPOINTMENT AVERSION; RETURNS; PUZZLE; STOCK; MOMENTUM; TESTS; BETA;

D O I：

10.1016/j.jfineco.2014.07.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The downside risk capital asset pricing model (DR-CAPM) can price the cross section of currency returns. The market-beta differential between high and low interest rate currencies is higher conditional on bad market returns, when the market price of risk is also high, than it is conditional on good market returns. Correctly accounting for this variation is crucial for the empirical performance of the model. The DR-CAPM can jointly rationalize the cross section of equity, equity index options, commodity, sovereign bond and currency returns, thus offering a unified risk view of these asset classes. In contrast, popular models that have been developed for a specific asset class fail to jointly price other asset classes. (C) 2014 Elsevier B.V. All rights reserved.

引用

页码：197 / 225

页数：29

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