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Equilibrium Exchange Rate Hedging

Citations

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Cited by:

  1. Wey, Matthew A., 2023. "A derivation of the Black–Litterman formula and its symmetry property," Economics Letters, Elsevier, vol. 231(C).
  2. 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).
  3. Orlov, Alexei G., 2009. "A cospectral analysis of exchange rate comovements during Asian financial crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(5), pages 742-758, December.
  4. Fabio Filipozzi & Kersti Harkmann, 2014. "Currency hedge – walking on the edge?," Bank of Estonia Working Papers wp2014-5, Bank of Estonia, revised 10 Oct 2014.
  5. Caporin, Massimiliano & Jimenez-Martin, Juan-Angel & Gonzalez-Serrano, Lydia, 2014. "Currency hedging strategies in strategic benchmarks and the global and Euro sovereign financial crises," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 31(C), pages 159-177.
  6. Giovanna Magnani & Antonella Zucchella, 2018. "Uncertainty in Entrepreneurship and Management Studies: A Systematic Literature Review," International Journal of Business and Management, Canadian Center of Science and Education, vol. 13(3), pages 1-98, February.
  7. Bruno Solnik, 1991. "Finance Theory and Investment Management," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 127(III), pages 303-324, September.
  8. Canova, Fabio & Marrinan, Jane, 1995. "Predicting excess returns in financial markets," European Economic Review, Elsevier, vol. 39(1), pages 35-69, January.
  9. Sang‐Kuck Chung, 2009. "Out‐of‐sample Hedge Performances for Risk Management in China Commodity Futures Markets," Asian Economic Journal, East Asian Economic Association, vol. 23(3), pages 349-372, September.
  10. Massimo Guidolin & Allan Timmermann, 2008. "International asset allocation under regime switching, skew, and kurtosis preferences," The Review of Financial Studies, Society for Financial Studies, vol. 21(2), pages 889-935, April.
  11. 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.
  12. 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.
  13. McDowell, Shaun, 2018. "An empirical evaluation of estimation error reduction strategies applied to international diversification," Journal of Multinational Financial Management, Elsevier, vol. 44(C), pages 1-13.
  14. Richard M. Levich & Lee R. Thomas, 1993. "Internationally Diversified Bond Portfolios: The Merits of Active Currency Risk Management," NBER Working Papers 4340, National Bureau of Economic Research, Inc.
  15. Francis, Bill B. & Hasan, Iftekhar & Hunter, Delroy M., 2008. "Can hedging tell the full story? Reconciling differences in United States aggregate- and industry-level exchange rate risk premium," Journal of Financial Economics, Elsevier, vol. 90(2), pages 169-196, November.
  16. Bernard Dumas, 1993. "Partial- Vs. General-Equilibrium Models of the International Capital Market," NBER Working Papers 4446, National Bureau of Economic Research, Inc.
  17. Aoun, Dany & Heshmati, Almas, 2006. "The Causal Relationship between Capital Structure and Cost of Capital: Evidence from ICT Companies Listed at NASDAQ," Ratio Working Papers 87, The Ratio Institute.
  18. Richard M. Levich & Lee R. Thomas, 1991. "The Significance of Technical Trading-Rule Profits in the Foreign Exchange Market: A Bootstrap Approach," NBER Working Papers 3818, National Bureau of Economic Research, Inc.
  19. Topaloglou, Nikolas & Vladimirou, Hercules & Zenios, Stavros A., 2002. "CVaR models with selective hedging for international asset allocation," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1535-1561, July.
  20. Allen N. Berger & Sadok El Ghoul & Omrane Guedhami & Raluca A. Roman, 2017. "Internationalization and Bank Risk," Management Science, INFORMS, vol. 63(7), pages 2283-2301, July.
  21. Eun, Cheol S. & Resnick, Bruce G., 1997. "International equity investment with selective hedging strategies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(1), pages 21-42, April.
  22. Olibe, Kingsley O. & Michello, Franklin A. & Thorne, Jerry, 2008. "Systematic risk and international diversification: An empirical perspective," International Review of Financial Analysis, Elsevier, vol. 17(4), pages 681-698, September.
  23. Luan, Fei & Zhang, Weiguo & Liu, Yongjun, 2022. "Robust international portfolio optimization with worst‐case mean‐CVaR," European Journal of Operational Research, Elsevier, vol. 303(2), pages 877-890.
  24. Kolari, James W. & Moorman, Ted C. & Sorescu, Sorin M., 2008. "Foreign exchange risk and the cross-section of stock returns," Journal of International Money and Finance, Elsevier, vol. 27(7), pages 1074-1097, November.
  25. Francis, Bill B. & Hasan, Iftekhar & Hunter, Delroy M., 2008. "Does hedging tell the full story? : Reconciling differences in US aggregate and industry-level exchange rate risk premia," Research Discussion Papers 14/2008, Bank of Finland.
  26. Palczewski, Andrzej & Palczewski, Jan, 2014. "Theoretical and empirical estimates of mean–variance portfolio sensitivity," European Journal of Operational Research, Elsevier, vol. 234(2), pages 402-410.
  27. Beltratti, Andrea & Laurant, Andrea & Zenios, Stavros A., 2004. "Scenario modelling for selective hedging strategies," Journal of Economic Dynamics and Control, Elsevier, vol. 28(5), pages 955-974, February.
  28. repec:zbw:bofrdp:2008_014 is not listed on IDEAS
  29. Shumi Akhtar, 2018. "Dividend payout determinants for Australian Multinational and Domestic Corporations," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(1), pages 11-55, March.
  30. Libo Yin & Liyan Han, 2015. "Hedging International Foreign Exchange Risks via Option Based Portfolio Insurance," Computational Economics, Springer;Society for Computational Economics, vol. 45(1), pages 151-181, January.
  31. Opie, Wei & Riddiough, Steven J., 2020. "Global currency hedging with common risk factors," Journal of Financial Economics, Elsevier, vol. 136(3), pages 780-805.
  32. Bergbrant, Mikael C. & Francis, Bill B. & Hunter, Delroy M., 2024. "How does currency risk impact firms? New evidence from bank loan contracts," Journal of Corporate Finance, Elsevier, vol. 84(C).
  33. Yun, Won-Cheol, 2006. "Selective hedging strategies for oil stockpiling," Energy Policy, Elsevier, vol. 34(18), pages 3495-3504, December.
  34. Haefliger, Thomas & Waelchli, Urs & Wydler, Daniel, 2002. "Hedging currency risk: Does it have to be so complicated?," MPRA Paper 26451, University Library of Munich, Germany.
  35. Karolyi, G. Andrew & Stulz, Rene M., 2003. "Are financial assets priced locally or globally?," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 16, pages 975-1020, Elsevier.
  36. Steven Beach & Alexei Orlov, 2007. "An application of the Black–Litterman model with EGARCH-M-derived views for international portfolio management," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 21(2), pages 147-166, June.
  37. Karolyi, G. Andrew & Wu, Ying, 2022. "Understanding the pricing of currency risk in global equity markets," Journal of Multinational Financial Management, Elsevier, vol. 63(C).
  38. Dany Aoun & Almas Heshmati, 2008. "International diversification, capital structure and cost of capital: evidence from ICT firms listed at NASDAQ," Applied Financial Economics, Taylor & Francis Journals, vol. 18(12), pages 1021-1032.
  39. Bardhan, Indrajit, 1995. "Exchange rate shocks, currency options and the Siegel paradox," Journal of International Money and Finance, Elsevier, vol. 14(3), pages 441-458, June.
  40. Ryle Perera, 2000. "The role of index bonds in universal currency hedging," Applied Mathematical Finance, Taylor & Francis Journals, vol. 7(4), pages 271-284.
  41. repec:wvu:wpaper:10-08 is not listed on IDEAS
  42. Scott McCarthy, 2003. "Hedging versus not hedging: strategies for managing foreign exchange transaction exposure," School of Economics and Finance Discussion Papers and Working Papers Series 162, School of Economics and Finance, Queensland University of Technology.
  43. Kim, Daehwan, 2012. "Is currency hedging necessary for emerging-market equity investment?," Economics Letters, Elsevier, vol. 116(1), pages 67-71.
  44. Dimitri O. Ledenyov & Viktor O. Ledenyov, 2013. "On the optimal allocation of assets in investment portfolio with application of modern portfolio and nonlinear dynamic chaos theories in investment, commercial and central banks," Papers 1301.4881, arXiv.org, revised Feb 2013.
  45. 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.
  46. Tom A. FEARNLEY, 2002. "Estimation of an International Capital Asset Pricing Model with Stocks and Government Bonds," FAME Research Paper Series rp95, International Center for Financial Asset Management and Engineering.
  47. 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.
  48. Francis, Bill B. & Hasan, Iftekhar & Hunter, Delroy M., 2008. "Does hedging tell the full story? Reconciling differences in US aggregate and industry-level exchange rate risk premia," Bank of Finland Research Discussion Papers 14/2008, Bank of Finland.
  49. Fatemi, Ali M. & Tavakkol, Amir & Dukas, Stephen P., 1996. "Foreign exchange exposure and the pricing of exchange rate risk," Global Finance Journal, Elsevier, vol. 7(2), pages 169-189.
  50. Haselmann, Rainer & Herwartz, Helmut, 2008. "Portfolio performance and the Euro: Prospects for new potential EMU members," Journal of International Money and Finance, Elsevier, vol. 27(2), pages 314-330, March.
  51. Marielle de Jong, 2011. "An adequate measure for exchange rate returns," Journal of Asset Management, Palgrave Macmillan, vol. 12(2), pages 85-93, June.
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