---
title: Skewness Risk Premia and the Cross-Section of Currency Returns
url: https://www.ml-quant.com/papers/repec/cpr-ceprdp-20587/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: RePEc:cpr:ceprdp:20587
source_url: https://econpapers.repec.org/RePEc:cpr:ceprdp:20587
featured: 2026-09-25
citations: unknown
topic: Asset Pricing & Factors
---


# Skewness Risk Premia and the Cross-Section of Currency Returns

Using model-free skewness measures from currency options, the study shows that skewness risk is priced in currency returns and explains variation across a broad cross-section of currency portfolios.

- Source: https://econpapers.repec.org/RePEc:cpr:ceprdp:20587
- Identifier: RePEc:cpr:ceprdp:20587
- Released: 2026-09-17
- First featured: Quant Letter No. 132 (2026-09-25): https://www.ml-quant.com/issues/2026-09-25/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Asset Pricing & Factors
- Authors: Li, Junye, Sarno, Lucio, Zinna, Gabriele

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