Currency hedging for single-currency equity portfolios: Does cross-asset risk matter?
Author
Abstract
Suggested Citation
DOI: 10.1016/j.gfj.2020.100575
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- John Y. Campbell & Karine Serfaty‐De Medeiros & Luis M. Viceira, 2010.
"Global Currency Hedging,"
Journal of Finance, American Finance Association, vol. 65(1), pages 87-121, February.
- John Y. Campbell & Karine Serfaty-de Medeiros & Luis M. Viceira, 2007. "Global Currency Hedging," NBER Working Papers 13088, National Bureau of Economic Research, Inc.
- Viceira, Luis & Serfaty-de Medeiros, Karine & Campbell, John, 2009. "Global Currency Hedging," Scholarly Articles 3153308, Harvard University Department of Economics.
- Victor DeMiguel & Lorenzo Garlappi & Raman Uppal, 2009. "Optimal Versus Naive Diversification: How Inefficient is the 1-N Portfolio Strategy?," The Review of Financial Studies, Society for Financial Studies, vol. 22(5), pages 1915-1953, May.
- Barbara Rossi, 2013.
"Exchange Rate Predictability,"
Journal of Economic Literature, American Economic Association, vol. 51(4), pages 1063-1119, December.
- Rossi, Barbara, 2013. "Exchange Rate Predictability," CEPR Discussion Papers 9575, C.E.P.R. Discussion Papers.
- Barbara Rossi, 2015. "Exchange Rate Predictability," Working Papers 690, Barcelona School of Economics.
- Barbara Rossi, 2013. "Exchange rate predictability," Economics Working Papers 1369, Department of Economics and Business, Universitat Pompeu Fabra.
- Kunkler, Michael & MacDonald, Ronald, 2015. "Half-lives of currencies and aggregation bias," Economics Letters, Elsevier, vol. 135(C), pages 58-60.
- Della Corte, Pasquale & Ramadorai, Tarun & Sarno, Lucio, 2016.
"Volatility risk premia and exchange rate predictability,"
Journal of Financial Economics, Elsevier, vol. 120(1), pages 21-40.
- Sarno, Lucio & Della Corte, Pasquale, 2013. "Volatility Risk Premia and Exchange Rate Predictability," CEPR Discussion Papers 9549, C.E.P.R. Discussion Papers.
- Mahieu, Ronald & Schotman, Peter, 1994.
"Neglected common factors in exchange rate volatility,"
Journal of Empirical Finance, Elsevier, vol. 1(3-4), pages 279-311, July.
- Ronald Mahieu & Peter Schotman, 1994. "Neglected Common Factors in Exchange Rate Volatility," CEPR Financial Markets Paper 0041, European Science Foundation Network in Financial Markets, c/o C.E.P.R, 33 Great Sutton Street, London EC1V 0DX..
- Kenneth A. Froot, 2019.
"Currency Hedging Over Long Horizons,"
Annals of Economics and Finance, Society for AEF, vol. 20(1), pages 37-66, May.
- Kenneth A. Froot, 1993. "Currency Hedging over Long Horizons," NBER Working Papers 4355, National Bureau of Economic Research, Inc.
- Lee, Kevin C & Pesaran, M Hashem & Pierse, Richard G, 1990. "Testing for Aggregation Bias in Linear Models," Economic Journal, Royal Economic Society, vol. 100(400), pages 137-150, Supplemen.
- Opie, Wei & Riddiough, Steven J., 2020. "Global currency hedging with common risk factors," Journal of Financial Economics, Elsevier, vol. 136(3), pages 780-805.
- Bailey, Warren & Ng, Edward & Stulz, Rene M., 1992. "Optimal hedging of stock portfolios against foreign exchange risk: theory and applications," Global Finance Journal, Elsevier, vol. 3(2), pages 97-113.
- Inci, Ahmet Can & Lu, Biao, 2004. "Exchange rates and interest rates: can term structure models explain currency movements?," Journal of Economic Dynamics and Control, Elsevier, vol. 28(8), pages 1595-1624, June.
- Solnik, Bruno H., 1974. "An equilibrium model of the international capital market," Journal of Economic Theory, Elsevier, vol. 8(4), pages 500-524, August.
- Kunkler, Michael & MacDonald, Ronald, 2018. "Decomposition of the uncovered equity parity correlation," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 57(C), pages 44-58.
- Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, vol. 14(1-2), pages 3-24, February.
- Lioui, Abraham & Poncet, Patrice, 2002. "Optimal currency risk hedging," Journal of International Money and Finance, Elsevier, vol. 21(2), pages 241-264, April.
- Glen, Jack & Jorion, Philippe, 1993. "Currency Hedging for International Portfolios," Journal of Finance, American Finance Association, vol. 48(5), pages 1865-1886, December.
- Adler, Michael & Dumas, Bernard, 1983. "International Portfolio Choice and Corporation Finance: A Synthesis," Journal of Finance, American Finance Association, vol. 38(3), pages 925-984, June.
- Soenen, Luc A. & Lindvall, John R., 1992. "Benefits from diversification and currency hedging of international equity investments: different countries' viewpoints," Global Finance Journal, Elsevier, vol. 3(2), pages 145-158.
- Henry N. Goldstein, 1964. "The Implications Of Triangular Arbitrage For Forward Exchange Policy," Journal of Finance, American Finance Association, vol. 19(3), pages 544-551, September.
- Michenaud, Sébastien & Solnik, Bruno, 2008. "Applying regret theory to investment choices: Currency hedging decisions," Journal of International Money and Finance, Elsevier, vol. 27(5), pages 677-694, September.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Yu, Xing & Shen, Xilin & Li, Yanyan & Gong, Xue, 2023. "Selective hedging strategies for crude oil futures based on market state expectations," Global Finance Journal, Elsevier, vol. 57(C).
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Opie, Wei & Riddiough, Steven J., 2020. "Global currency hedging with common risk factors," Journal of Financial Economics, Elsevier, vol. 136(3), pages 780-805.
- Burkhardt, Raphael & Ulrych, Urban, 2023. "Sparse and stable international portfolio optimization and currency risk management," Journal of International Money and Finance, Elsevier, vol. 139(C).
- Pagnottoni, Paolo & Spelta, Alessandro, 2024. "Hedging global currency risk: A dynamic machine learning approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 649(C).
- Gregory Bauer & Antonio Diez de los Rios, 2012. "An International Dynamic Term Structure Model with Economic Restrictions and Unspanned Risks," Staff Working Papers 12-5, Bank of Canada.
- Stijn Claessens & M Ayhan Kose, 2017.
"Asset prices and macroeconomic outcomes: a survey,"
BIS Working Papers
676, Bank for International Settlements.
- Stijn Claessens & M. Ayhan Kose, 2017. "Asset prices and macroeconomic outcomes: A survey," CAMA Working Papers 2017-76, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Stijn Claessens & M. Ayhan Kose, 2017. "Asset Prices and Macroeconomic Outcomes: A Survey," Koç University-TUSIAD Economic Research Forum Working Papers 1718, Koc University-TUSIAD Economic Research Forum.
- Claessens,Stijn & Kose,Ayhan, 2017. "Asset prices and macroeconomic outcomes : a survey," Policy Research Working Paper Series 8259, The World Bank.
- Kose, M. Ayhan & Claessens, Stijn, 2017. "Asset Prices and Macroeconomic Outcomes: A Survey," CEPR Discussion Papers 12460, C.E.P.R. Discussion Papers.
- Susan Thorp, 2004. "That Courage is not inconsistent with Caution: Foreign Currency Hedging for Superannuation Funds," Econometric Society 2004 Australasian Meetings 148, Econometric Society.
- Pedro Barroso & Jurij-Andrei Reichenecker & Marco J. Menichetti, 2022. "Hedging with an Edge: Parametric Currency Overlay," Management Science, INFORMS, vol. 68(1), pages 669-689, January.
- John Y. Campbell & Karine Serfaty‐De Medeiros & Luis M. Viceira, 2010.
"Global Currency Hedging,"
Journal of Finance, American Finance Association, vol. 65(1), pages 87-121, February.
- John Y. Campbell & Karine Serfaty-de Medeiros & Luis M. Viceira, 2007. "Global Currency Hedging," NBER Working Papers 13088, National Bureau of Economic Research, Inc.
- Viceira, Luis & Serfaty-de Medeiros, Karine & Campbell, John, 2009. "Global Currency Hedging," Scholarly Articles 3153308, Harvard University Department of Economics.
- Grobys, Klaus, 2024. "A universal exponent governing foreign exchange rate risks," International Review of Financial Analysis, Elsevier, vol. 95(PB).
- Stijn Claessens & M Ayhan Kose, 2018. "Frontiers of macrofinancial linkages," BIS Papers, Bank for International Settlements, number 95.
- Jochen M. Schmittmann, 2010. "Currency Hedging for International Portfolios," IMF Working Papers 2010/151, International Monetary Fund.
- Suh, Sangwon, 2011. "Currency hedging failure in international equity investments and an efficient hedging strategy: The perspective of Korean investors," Pacific-Basin Finance Journal, Elsevier, vol. 19(4), pages 390-403, September.
- Rubaszek, Michał & Beckmann, Joscha & Ca' Zorzi, Michele & Kwas, Marek, 2022. "Boosting carry with equilibrium exchange rate estimates," Working Paper Series 2731, European Central Bank.
- repec:zbw:bofitp:2017_015 is not listed on IDEAS
- Susan Thorp, 2005. "‘That Courage is not Inconsistent with Caution’: Currency Hedging for Superannuation Funds," The Economic Record, The Economic Society of Australia, vol. 81(252), pages 38-50, March.
- Duc Khuong Nguyen & Nikolas Topaloglou & Thomas Walther, 2020.
"Asset Classes and Portfolio Diversification: Evidence from a Stochastic Spanning Approach,"
Working Papers
2020-009, Department of Research, Ipag Business School.
- Nguyen, Duc Khuong & Topaloglou, Nikolas & Walther, Thomas, 2020. "Asset Classes and Portfolio Diversification: Evidence from a Stochastic Spanning Approach," MPRA Paper 103870, University Library of Munich, Germany.
- Matteo Maggiori & Brent Neiman & Jesse Schreger, 2020.
"International Currencies and Capital Allocation,"
Journal of Political Economy, University of Chicago Press, vol. 128(6), pages 2019-2066.
- Maggiori, Matteo & Neiman, Brent & Schreger, Jesse, 2018. "International Currencies and Capital Allocation," CEPR Discussion Papers 12973, C.E.P.R. Discussion Papers.
- Matteo Maggiori & Brent Neiman & Jesse Schreger, 2018. "International Currencies and Capital Allocation," NBER Working Papers 24673, National Bureau of Economic Research, Inc.
- Lambelet, Jean-Christian & Mihailov, Alexander, 2005.
"The Triple-Parity Law,"
Economics Discussion Papers
8896, University of Essex, Department of Economics.
- Jean-Christian Lambelet & Alexander Mihailov, 2006. "The Triple-Parity Law," Computing in Economics and Finance 2006 33, Society for Computational Economics.
- Bruno Solnik & Luo Zuo, 2012. "A Global Equilibrium Asset Pricing Model with Home Preference," Management Science, INFORMS, vol. 58(2), pages 273-292, February.
- Dangl, Thomas & Randl, Otto & Zechner, Josef, 2016. "Risk control in asset management: Motives and concepts," CFS Working Paper Series 546, Center for Financial Studies (CFS).
- Kunkler, Michael, 2021. "The Chinese renminbi's co-movement with the US dollar: Addressing the numéraire issue," Finance Research Letters, Elsevier, vol. 40(C).
More about this item
Keywords
Currency hedging; Exchange rates; Equity portfolios;All these keywords.
JEL classification:
- F31 - International Economics - - International Finance - - - Foreign Exchange
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:glofin:v:49:y:2021:i:c:s1044028320302751. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/620162 .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.