UID:
almafu_9958120566102883
Umfang:
1 online resource (70 p.)
ISBN:
9786612846236
,
9781462306299
,
1462306292
,
9781455242481
,
1455242489
,
9781282846234
,
128284623X
,
9781455201341
,
1455201340
Serie:
IMF Working Papers
Inhalt:
This paper examines the benefits from hedging the currency exposure of international investments in single- and multi-country equity and bond portfolios from the perspectives of German, Japanese, British and American investors. Over the period 1975 to 2009, hedging of currency risk substantially reduced the volatility of foreign investments at a quarterly investment horizon. Contrary to previous studies, the paper finds that at longer investment horizons of up to five years the case for hedging for risk reduction purposes remained strong.In addition to its impact on risk, hedging affected returns in economically meaningful magnitudes in some cases.
Anmerkung:
Description based upon print version of record.
,
Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. Literature Review; III. Data; 1. Summary Statistics; IV. Components of International Investment Returns; 2. Quarterly Returns to International Investments; 3a. Variance Decomposition of Quarterly Returns; 3b. Variance Decomposition of Quarterly Returns; V. Hedging Currency Risk; A. Hedging methodology and notation; B. Impact of hedging on returns; C. Impact of hedging on volatility; D. Calculating the forward premium in practice; 4. Forward Premia versus the U.S. Dollar Derived from Deposit Rates and T-Bills
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VI. Simple Hedge RatiosA. Single-country portfolios; 5a. Quarterly Returns on Hedged and Unhedged Portfolios; 5b. Quarterly Returns on Hedged and Unhedged Portfolios; 6a. Quarterly Standard Deviations of Hedged and Unhedged Portfolios; 6b. Quarterly Standard Deviations of Hedged and Unhedged Portfolios; B. Multi-country portfolios; 7. Quarterly Returns on Hedged and Unhedged Equal-Weighted Portfolios; 8. Quarterly Standard Deviations of Hedged and Unhedged Equal-Weighted Portfolios; VII. Optimal Hedge Ratios; A. Single-country portfolios; 9. Estimated Minimum Variance Hedge Ratios
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B. Multi-country portfolios10. Estimated Minimum Variance Hedge Ratios for Multi-Country Portfolios - Full Sample; 11. Estimated Minimum Variance Hedge Ratios for Multi-Country Portfolios - First Half of Sample; 12. Estimated Minimum Variance Hedge Ratios for Multi-Country Portfolios - Second Half of Sample; VIII. Hedging and the Investment Horizon; 13. Variance Ratios of Unhedged and Hedged Returns over Different Horizons; 14a. Estimated Minimum Variance Hedge Ratios over Different Horizons; 14b. Estimated Minimum Variance Hedge Ratios over Different Horizons; IX. Conclusion; References
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Footnotes
Sprache:
Englisch
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