Skewness Risk Premia and the Cross-Section of Currency Returns
Using model-free skewness measures from currency options, the study shows that skewness risk is priced in currency returns and explains variation across a broad cross-section of currency portfolios.
Featured in No. 132 on 25 Sep 2026 · 8 days after release
- Released
- 17 Sep 2026
- First featured
- No. 132 · 25 Sep 2026
- Published in
- Not yet, as far as Semantic Scholar knows
- Fanfare
- 3 of 5
- Identifier
- RePEc:cpr:ceprdp:20587
- Authors
- Junye Li et al.
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).