| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9484 |
| DP9484 Conditional Risk Premia in Currency Markets and Other Asset Classes | |
| Martin Lettau; Matteo Maggiori; Michael Weber | |
| 发表日期 | 2013-05-26 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | The downside risk CAPM (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 explain the cross section of equity, 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. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | Carry trade Commodity basis Equity cross section Downside risk |
| URL | https://cepr.org/publications/dp9484 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/538320 |
| 推荐引用方式 GB/T 7714 | Martin Lettau,Matteo Maggiori,Michael Weber. DP9484 Conditional Risk Premia in Currency Markets and Other Asset Classes. 2013. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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