We study a large currency cross-section using asset pricing methods that account for omitted-variable and measurement-error biases. First, we show that the pricing kernel includes at least three latent factors that resemble (but are not identical to) a strong U.S. “dollar” factor and two weak high Sharpe ratio “carry” and “momentum” slope factors. Evidence for an additional “value” factor is weaker. Second, using this pricing kernel, we find that only a small fraction of the over 100 nontradable candidate factors considered have a statistically significant risk premium, mostly relating to volatility, uncertainty, and liquidity conditions, rather than macro variables.

中文翻译：

---

货币风险溢价减少

我们使用考虑遗漏变量和测量误差偏差的资产定价方法研究大型货币横截面。首先，我们表明定价内核至少包括三个类似于（但不相同）强势美元“美元”因素和两个弱高夏普比率“利差”和“动量”斜率因素的潜在因素。额外“价值”因素的证据较弱。其次，使用这个定价内核，我们发现所考虑的 100 多个不可交易的候选因素中只有一小部分具有统计上显着的风险溢价，主要与波动性、不确定性和流动性条件有关，而不是宏观变量。