Global currency hedging
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Author
Contributions
- Medeiros, Karine Serfaty-de - Contributor
- Viceira, Luis M. - Contributor
- Harvard Business School - Contributor
Publication
2009 - Harvard Business School, Boston, Massachusetts
Language
English
Word Count
29,000 words, Guess
Page Count
116 pages
Identifiers
- OCLC Control Number541953255
- Open LibraryOL50195004M
Description
Over the period 1975 to 2005, the US dollar (particularly in relation to the Canadian dollar) and the euro and Swiss franc (particularly in the second half of the period) have moved against world equity markets. Thus these currencies should be attractive to risk-minimizing global equity investors despite their low average returns. 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. There is little evidence that risk-minimizing investors should adjust their currency positions in response to movements in interest differentials.
Subjects
Series Statement
- Working paper / Harvard Business School -- 09-089
Other Editions
- Global currency hedging
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