Published in:28th Australasian Finance and Banking Conference
Extent:
1 Online-Ressource (60 p)
Language:
English
DOI:
10.2139/ssrn.2620246
Identifier:
Origination:
Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 1, 2016 erstellt
Description:
A moment risk premium is the difference between a realized and the corresponding implied moment. I establish the existence of non-zero moment risk premiums in currency markets. Quadratic and quartic risk premiums are mostly negative whereas cubic premiums do not exhibit a predominant sign. The economic and statistical significance of moment risk premiums increases, first, in contract maturity and, second, in moment order. Moment risk premiums cannot be explained by traditional risk factors in currency markets. State-of-the-art option pricing models provide a model-based foundation of the maturity pattern of the risk premiums