We offer new evidence on how currency risk is priced in the cross-section of global stock returns. The focus is on two currency risk factors—a dollar-risk factor and a carry-trade-risk factor—and their explanatory power for a variety of test assets comprised monthly returns for over 37,000 stocks from forty-six countries and over four decades. We obtain reliable positive evidence of the pricing of carry-trade factor risk and the implied premia are statistically significant and economically as expected. The pricing of the dollar-risk factor is less reliable. Our inferences depend critically on the inclusion of emerging markets.

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全球股票市场中的货币风险是否定价？

我们提供了有关全球股票收益的横截面中货币风险定价方式的新证据。重点关注两个货币风险因素（美元风险因素和套利交易风险因素），它们对多种测试资产的解释力包括来自46个国家和超过40年的37,000多只股票的月收益。我们获得了套利交易因子风险定价的可靠肯定证据，隐含的溢价在统计上和经济上均符合预期。美元风险因素的定价不太可靠。我们的推论主要取决于新兴市场的包容性。