Publication:
Estimating risk premia in the presence of omitted factors in the currency market

dc.contributor.advisor Yang, Li en_US
dc.contributor.author Li, Huaizhou en_US
dc.date.accessioned 2022-03-22T18:38:27Z
dc.date.available 2022-03-22T18:38:27Z
dc.date.issued 2018 en_US
dc.description.abstract When risk premia are estimated using the standard asset pricing approach of two-pass regressions with the omission of factors, inference of these risk premia can be wrong. In this study, we apply a three-pass methodology developed by Giglio and Xiu (2017) to estimate the risk premia attached two common factors, dollar and carry factors, in the currency market. We find that the omission of factors affects the magnitude of risk premia for these two factors constructed from the currency portfolios. Carry factor is able to explain most of the cross-sectional variation of excess returns at the portfolio level but not in the individual currency level. en_US
dc.identifier.uri http://hdl.handle.net/1959.4/60553
dc.language English
dc.language.iso EN en_US
dc.publisher UNSW, Sydney en_US
dc.rights CC BY-NC-ND 3.0 en_US
dc.rights.uri https://creativecommons.org/licenses/by-nc-nd/3.0/au/ en_US
dc.subject.other International Financial Markets en_US
dc.subject.other Three-Pass Estimator en_US
dc.subject.other Empirical Asset Pricing en_US
dc.title Estimating risk premia in the presence of omitted factors in the currency market en_US
dc.type Thesis en_US
dcterms.accessRights open access
dcterms.rightsHolder Li, Huaizhou
dspace.entity.type Publication en_US
unsw.accessRights.uri https://purl.org/coar/access_right/c_abf2
unsw.identifier.doi https://doi.org/10.26190/unsworks/20795
unsw.relation.faculty Business
unsw.relation.originalPublicationAffiliation Li, Huaizhou, Banking & Finance, Australian School of Business, UNSW en_US
unsw.relation.originalPublicationAffiliation Yang, Li, Banking & Finance, Australian School of Business, UNSW en_US
unsw.relation.school School of Banking & Finance *
unsw.thesis.degreetype Masters Thesis en_US
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