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The relationship between exchange rate exposure, currency risk management and performance of international equity funds

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  • Benson, Karen L.
  • Faff, Robert W.

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  • Benson, Karen L. & Faff, Robert W., 2004. "The relationship between exchange rate exposure, currency risk management and performance of international equity funds," Pacific-Basin Finance Journal, Elsevier, vol. 12(3), pages 333-357, June.
    • Handle: RePEc:eee:pacfin:v:12:y:2004:i:3:p:333-357
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    References listed on IDEAS

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    1. Michael C. Jensen, 1968. "The Performance Of Mutual Funds In The Period 1945–1964," Journal of Finance, American Finance Association, vol. 23(2), pages 389-416, May.
    2. Henriksson, Roy D & Merton, Robert C, 1981. "On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills," The Journal of Business, University of Chicago Press, vol. 54(4), pages 513-533, October.
    3. William G. Droms & David A. Walker, 1994. "Investment Performance Of International Mutual Funds," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 17(1), pages 1-14, March.
    4. Kao, G Wenchi & Cheng, Louis T W & Chan, Kam C, 1998. "International Mutual Fund Selectivity and Market Time during Up and Down Market Conditions," The Financial Review, Eastern Finance Association, vol. 33(2), pages 127-144, May.
    5. Mr. Leslie E Teo & Mr. Charles Enoch & Mr. Carl-Johan Lindgren & Mr. Tomás J. T. Baliño & Ms. Anne Marie Gulde & Mr. Marc G Quintyn, 2000. "Financial Sector Crisis and Restructuring: Lessons from Asia: Lessons from Asia," IMF Occasional Papers 2000/003, International Monetary Fund.
    6. Jennifer Lynch Koski & Jeffrey Pontiff, 1999. "How Are Derivatives Used? Evidence from the Mutual Fund Industry," Journal of Finance, American Finance Association, vol. 54(2), pages 791-816, April.
    7. Benson, Karen L. & Faff, Robert W., 2003. "Exchange rate sensitivity of Australian international equity funds," Global Finance Journal, Elsevier, vol. 14(1), pages 95-120, May.
    8. Gallo, John G. & Swanson, Peggy E., 1996. "Comparative measures of performance for U.S.-based international equity mutual funds," Journal of Banking & Finance, Elsevier, vol. 20(10), pages 1635-1650, December.
    9. Tufano, Peter, 1996. "Who Manages Risk? An Empirical Examination of Risk Management Practices in the Gold Mining Industry," Journal of Finance, American Finance Association, vol. 51(4), pages 1097-1137, September.
    10. Jorion, Philippe, 1990. "The Exchange-Rate Exposure of U.S. Multinationals," The Journal of Business, University of Chicago Press, vol. 63(3), pages 331-345, July.
    11. Cumby, Robert E & Glen, Jack D, 1990. "Evaluating the Performance of International Mutual Funds," Journal of Finance, American Finance Association, vol. 45(2), pages 497-521, June.
    12. Geczy, Christopher & Minton, Bernadette A & Schrand, Catherine, 1997. "Why Firms Use Currency Derivatives," Journal of Finance, American Finance Association, vol. 52(4), pages 1323-1354, September.
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    Cited by:

    1. Lan, Li-Huei & Chen, Chang-Chih & Chuang, Shuang-Shii, 2015. "Exchange rate risk management: What can we learn from financial crises?," Economic Modelling, Elsevier, vol. 45(C), pages 187-192.
    2. Benson, Karen L. & Faff, Robert W., 2006. "Conditional performance evaluation and the relevance of money flows for Australian international equity funds," Pacific-Basin Finance Journal, Elsevier, vol. 14(3), pages 231-249, June.

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