Verdelhan (2018) argues that the dollar HML factor (long high dollar beta currencies and short low dollar beta currencies) is a priced global risk factor beyond carry. In contrast, we document that the dollar HML factor does not explain the cross section of currency risk premia, is conditionally...

Using high-frequency data, we estimate and characterize the evolution of the factor structure of global asset returns across aggregate equity, fixed income and exchange rates over the period 2007-2020. We show how the factor structure of asset returns evolves through time, providing clear...