Currency Risk In Global Equity Markets

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Currency Risk Premia In Global Stock Markets

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Author : Shaun K. Roache
language : en
Publisher: International Monetary Fund
Release Date : 2006-08

Currency Risk Premia In Global Stock Markets written by Shaun K. Roache and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-08 with Business & Economics categories.

Large fundamental imbalances persist in the global economy, with potential exchange rate implications. This paper assesses whether exchange rate risk is priced across G-7 stock markets. Given the multitude of hedging instruments available, theory suggests that stock market investors should not be compensated for currency risk. However, data covering 33 industry portfolios across seven major stock markets suggest that not only is exchange rate risk priced in many markets, but that it is time-varying and sensitive to currency-specific shocks. With stock market investors typically exhibiting "home bias," this suggests that investors are using equity asset proxies to hedge the exchange rate risks to consumption.

Currency Risk In Global Equity Markets

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Author : Chris Yost-Bremm
language : en
Publisher:
Release Date : 2016

Currency Risk In Global Equity Markets written by Chris Yost-Bremm and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.

This dissertation aims to understand the impact that currency movement -- in particular U.S. dollar movement -- has in determining the returns to individual global equities. To that end, the dissertation focuses on three main goals. First, is to identify the optimal approach for measuring the degree of local/U.S. dollar currency exposure among so many disparate firms. Second, is to use this exposure to identify avenues for stock return predictability. And third, is to test whether currency exposure is systematic in the cross-section of returns -- be that cross- section a country, region, or the world.The first section focuses on the measurement of exchange rate sensitivity for global firms and associated predictability. The analysis reveals that firms that are most strongly sensitive to currency fluctuations tend to have higher stock returns over the short to medium run. In addition, the research finds that information in the forward currency rate structure can be used to improve the predictability for such firms.The second section takes a risk-based approach, and tests whether or not currency risk is a systematic risk factor worldwide. The findings suggest that currency risk is largely characterized as a regional -- as opposed to global -- consideration. However, firm fundamentals that tend to drive variation in currency exposure (such as firm size or profitability) are considerations that extend beyond regional boundaries. The section shows that because of that, worldwide systematic predictability as a result of currency exposure can still be achieved, even if the worldwide returns to that exposure are not homogeneous.

Currency Hedging For International Portfolios

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Author : Jochen M. Schmittmann
language : en
Publisher: International Monetary Fund
Release Date : 2010-06-01

Currency Hedging For International Portfolios written by Jochen M. Schmittmann and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-06-01 with Business & Economics categories.

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.

Currency Risk Premia In Global Stock Markets

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Author : Shaun K. Roache
language : en
Publisher:
Release Date : 2006

Currency Risk Premia In Global Stock Markets written by Shaun K. Roache and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Banks and banking, Central categories.

Does Emerging Market Exchange Risk Affect Global Equity Prices

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Author : Francesca Carrieri
language : en
Publisher:
Release Date : 2004

Does Emerging Market Exchange Risk Affect Global Equity Prices written by Francesca Carrieri and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with categories.

We provide new evidence on the pricing of exchange risk in the global stock markets. We conduct empirical tests in a conditional setting for ten developed markets and twelve emerging markets to determine whether emerging market currency risk affects emerging market equities and if it spills over into developed markets. In addition to using real exchange rates for the risk related to PPP deviations, our empirical model allows currency risk to compete with broader economic and political risks. Our main results support the hypothesis of significant exchange risk premia for both developed and emerging market assets. There is also evidence that emerging market currency risk is priced separately from other emerging market specific risks. Finally, we find that the spillover impact is heightened during crisis episodes and such information in particular affects world and major currency risks.

Fx

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Author : Gary Klopfenstein
language : en
Publisher: CRC Press
Release Date : 1997-01-20

Fx written by Gary Klopfenstein and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997-01-20 with Business & Economics categories.

FX: Managing Global Currency Risk covers basic and advanced strategies for risk management and profit maximization in the global foreign exchange markets on both theoretical and practical levels. Topics include: plain vanilla and exotic hedging instruments; pricing of currency options; corporate risk management techniques; critical corporate accounting and tax issues; FX and global equity and fixed-income portfolios; currencies as asset classes; understanding overlay strategies; and pension funds and FX risk management.

Fx Managing Global Currency Risk

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Author : Gary Klopfenstein
language : en
Publisher: Routledge
Release Date : 1997

Fx Managing Global Currency Risk written by Gary Klopfenstein and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with Business & Economics categories.

FX: Managing Global Currency Riskcovers basic and advanced strategies for risk management and profit maximization in the global foreign exchange markets on both theoretical and practical levels. Topics include: plain vanilla and exotic hedging instruments; pricing of currency options; corporate risk management techniques; critical corporate accounting and tax issues; FX and global equity and fixed-income portfolios; currencies as asset classes; understanding overlay strategies; and pension funds and FX risk management.

International Corporate Finance

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Author : Laurent L. Jacque
language : en
Publisher: John Wiley & Sons
Release Date : 2014-03-07

International Corporate Finance written by Laurent L. Jacque and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-03-07 with Business & Economics categories.

A thorough introduction to corporate finance from a renowned professor of finance and banking As globalization redefines the field of corporate finance, international and domestic finance have become almost inseparably intertwined. It's increasingly difficult to understand what is happening in capital markets without a firm grasp of currency markets, the investment strategies of sovereign wealth funds, carry trade, and foreign exchange derivatives products. International Corporate Finance offers thorough coverage of the international monetary climate, including Islamic finance, Asian banking, and cross-border mergers and acquisitions. Additionally, the book offers keen insight on global capital markets, equity markets, and bond markets, as well as foreign exchange risk management and how to forecast exchange rates. Offers a comprehensive discussion of the current state of international corporate finance Provides simple rules and pragmatic answers to key managerial questions and issues Includes case studies and real-world decision-making situations For anyone who wants to understand how finance works in today's hyper-connected global economy, International Corporate Finance is an insightful, practical guide to this complex subject.

Currency Risk In Emerging Equity Markets

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Author : Fabiola Ravazzolo
language : en
Publisher:
Release Date : 2002

Currency Risk In Emerging Equity Markets written by Fabiola Ravazzolo and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with categories.

The paper develops an international capital asset pricing model, which includes foreign currency risk, and examines the impact of capital market liberalisation on the pricing of risks. It applies the model to data from Pacific Basin financial markets and finds substantial evidence that not only currency risk is priced in both pre and post liberalisation periods, but the model is superior to one which does not include currency risk. This evidence suggests that an international capital asset pricing model which omits currency risk will be misspecified. Furthermore, the results imply that since currency risk is priced and investors are compensated for bearing such risk they should not be discouraged by more flexible exchange rates from investing in emerging markets.

Currency Risk In Emerging Equity Markets

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Author : Kate Phylaktis
language : en
Publisher:
Release Date : 2004

Currency Risk In Emerging Equity Markets written by Kate Phylaktis and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with categories.

The paper develops an international capital asset pricing model, which includes foreign currency risk, and examines the impact of capital market liberalisation on the pricing of risks. It applies the model to data from Pacific Basin financial markets and finds substantial evidence that not only currency risk is priced in both pre and post liberalisation periods, but the model is superior to one which does not include currency risk. This evidence suggests that an international capital asset pricing model, which omits currency risk, will be misspecified. Furthermore, the results imply that since currency risk is priced and investors are compensated for bearing such risk they should not be discouraged by more flexible exchange rate regimes from investing in emerging markets.