This dissertation contains two essays on empirical asset pricing. The first essay tests a two-beta currency pricing model that features betas with risk-premium news and real-rate news of the currency market. I find that the beta associated with risk-premium news is ``bad'' because of a significantly positive price of risk of $2.52\%$ per year; beta with global real-rate news is ``good'' because of a negative price of risk. Moreover, I show that the price of risk-premium-beta risk is countercyclical, whereas the price of the real-rate beta risk is procyclical. Under my two-beta asset pricing model, most prevailing currency trading strategies have either excessive ``bad beta'' or too little ``good beta'', thus fail to deliver abnormal performance. The main driver of the results is precautionary savings, consistent with my theoretical implications.In the second essay, I test whether the trend factor works across different countries and markets. I find consistent evidence that the trend factor which captures information in moving average prices of various time lengths, can generate positive Sharpe ratio across most of the developed countries. It outperforms the market portfolio, short-term reversal, momentum, and long-term reversal in most of the developed countries. I further examine how cultural differences influence the success of the trend factor. The empirical results show that the trend factor is more profitable in countries where the individualism is higher. The performance of the global trend factor is robust to different subperiods and subsamples. From an asset pricing perspective, it also performs well in explaining returns of global portfolios sorted based on different attributes.
