In this paper, we analyse the relationship between the currency carry return and volatility and liquidity risk factors …. We find that both categories of risk factors are relevant to understanding and explaining carry return, with an … outperformance for volatility ones especially the global FX volatility risk factor. Consistent with the poor performance of currency …

and the Swiss franc, and are hence less susceptible to crash risk. In line with that, standard pricing factors of …

-interest-rate currencies - has been found to generate excess returns that cannot be explained by common risk factors. We argue that companies …) Based on an APT approach we find a risk premium for implicitly executed currency carry trades in equity returns. (ii) We …