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The Role of Information Asymmetries and Inflation Hedging in International Equity Portfolios
In: Journal of Multinational Financial Management, Band 19, Heft 237-255
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International Risk Sharing: Through Equity Diversification or Exchange Rate Hedging?
In: IMF Working Papers, S. 1-45
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Neutral and indifference portfolio pricing, hedging and investing: with applications in equity and FX
1. Background material -- 2. Simple economics: complete and incomplete markets -- 3. Investment portfolio optimization -- 4. Pricing: neutral and indifferences -- 5. Hedging -- 6. Equity valuation and investing: continuous-time accounting -- 7. FX rates and FX derivatives
Channel equity: valore, concorrenza, regole nel commercio dei prodotti globali
In: Biblioteca dell'economia d'azienda
Global currency hedging
In: NBER working paper series 13088
This paper considers the risk management problem of an investor who holds a diversified portfolio of global equities or bonds and chooses long or short positions in currencies to manage the risk of the total portfolio. Over the period 1975-2005, we find that a risk-minimizing global equity investor should short the Australian dollar, Canadian dollar, Japanese yen, and British pound but should hold long positions in the US dollar, the euro, and the Swiss franc. The resulting currency position tends to rise in value when equity markets fall. This strategy works well for investment horizons of one month to one year. In the past 15 years the risk-minimizing demand for the dollar appears to have weakened slightly, while demands for the euro and Swiss franc have strengthened. These changes may reflect the growing role for the euro as a reserve currency in the international financial system. The risk-minimizing currency strategy for a global bond investor is close to a full currency hedge, with a modest long position in the US dollar. Risk-reducing currencies have had lower average returns during our sample period, but the difference in average returns is smaller than would be implied by the global CAPM given the historical equity premium.
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A Comparative Analysis of Hedging Determination for Three Alternative International Equity Index Futures
In: Review of Pacific Basin financial markets and policies: RPBFMP, Band 26, Heft 1
This study provides a comparative analysis of hedging determination for three alternative international equity index futures, namely FTSE 100, NIKKEI 225 and S&P 500 futures contracts. Both the conventional regression and the error correction modeling approaches are used to estimate the minimum-variance hedge ratios and to evaluate the hedging effectiveness. Comparisons of out-of-sample hedging performance reveal that the error correction model outperforms the conventional model, suggesting that the error correction model serves as a better hedging model than conventional model in a hedge using stock index. In addition, the effects of temporal aggregation on hedge ratio estimates and hedging effectiveness are evaluated. It is found that temporal aggregation plays an important role on sizing hedging positions and measuring hedge effectiveness.
Time-Varying Hedging using the State-Space Model in the Malaysian Equity Market
In: Jurnal Pengurusan, Band 31, S. 65-70
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Working paper
Equity-linked products: evaluation of the dynamic hedging errors under stochastic mortality
In: European actuarial journal, Band 2, Heft 2, S. 243-258
ISSN: 2190-9741
Hedging vs. Diversification: Comparing the Cost of Hedging to the Cost of Diversification
In: Journal of Investment Consulting, Band 21, Heft 1, S. 45-52
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Private Equity Buyouts & Firm Exporting in Crisis Periods: Exploring a New Channel
In: CORFIN-D-23-00898
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