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Currency Hedging over Long Horizons
16 references·16 citing·39 second hopsampled
Currency Hedging over Long Horizons (1993)Currency Hedging over Long HorizonsCurrency Hedging for International Portfolios (1993)Currency Hedging for Internat…Real Exchange Rates under the Gold Standard (1991)Real Exchange Rates under the…The Foreign Exchange Market: Theory and Econometric Evidence. (1990)The Foreign Exchange Market: …Anomalies: Foreign Exchange (1990)Anomalies: Foreign ExchangeForward Discount Bias: Is it an Exchange Risk Premium? (1989)Forward Discount Bias: Is it …Was It Real? The Exchange Rate‐Interest Differential Relation over the Modern Floating‐Rate Period (1988)Was It Real? The Exchange Rat…How Big Is the Random Walk in GNP? (1988)How Big Is the Random Walk in…An empirical investigation of the long-run behavior of real exchange rates (1987)An empirical investigation of…Nominal exchange rate regimes and the behavior of real exchange rates: Evidence and implications (1986)Nominal exchange rate regimes…Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates (1983)Forward Rates and Future Poli…Empirical Studies of Exchange Rates: Price Behavior, Rate Determinationand Market Efficiency (1983)Empirical Studies of Exchange…Expectations and Exchange Rate Dynamics (1976)Expectations and Exchange Rat…LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)LIFETIME PORTFOLIO SELECTION …An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …Some Theoretical Problems Suggested by the Movements of Interest Rates, Bond Yields and Stock Prices in the United States Since 1856. (1938)Some Theoretical Problems Sug…Volatility and dynamic currency hedging (2019)Volatility and dynamic curren…Global Currency Hedging with Common Risk Factors (2018)Global Currency Hedging with …Safe‐haven currency: An empirical identification (2017)Safe‐haven currency: An empir…Currency Hedging for International Portfolios (2010)Currency Hedging for Internat…The euro–dollar exchange rate and equity flows (2009)The euro–dollar exchange rate…Global Currency Hedging (2009)Global Currency HedgingGlobal Currency Hedging (2009)Global Currency HedgingStrategic currency hedging and global portfolio investments upside down (2007)Strategic currency hedging an…Financial Integration and the Wealth Effect of Exchange Rate Fluctuations (2005)Financial Integration and the…Foreign currency for long‐term investors (2003)Foreign currency for long‐ter…International Portfolio Investment: Theory, Evidence, and Institutional Framework (2001)International Portfolio Inves…Do Momentum Based Strategies Still Work in Foreign Currency Markets? (2001)Do Momentum Based Strategies …International Capital Flows (1999)International Capital FlowsExchange rate variation, commodity price variation and the implications for international trade (1999)Exchange rate variation, comm…The Exchange Rate Exposure of U.S. And Japanese Banking Institutions (1996)The Exchange Rate Exposure of…Tax Policy and International Capital Flows (1994)Tax Policy and International …Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Time to Build and Aggregate Fluctuations (1982)A Model of Growth Through Creative Destruction (1990)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Aspects of the Theory of Risk-Bearing. (1966)Optimum consumption and portfolio rules in a continuous-time model (1971)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Order Flow and Exchange Rate Dynamics (1999)The Economics of Exchange Rates (2003)In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use? (2005)Aggregate Dynamics and Staggered Contracts (1980)Empirical exchange rate models of the seventies (1983)To Float or to Fix: Evidence on the Impact of Exchange Rate Regimes on Growth (2003)Public debt and economic growth: Is there a causal effect? (2014)International Liquidity and Exchange Rate Dynamics * (2015)Forward and spot exchange rates (1984)Continuous Auctions and Insider Trading (1985)Using Survey Data to Test Some Standard Propositions Regarding Exchange Rate Expectations (1985)Carry Trades and Currency Crashes (2008)Carry Trades and Currency Crashes (2008)What do we learn from the price of crude oil futures? (2010)Portfolio Selection: Efficient Diversification of Investments (1959)Risk Aversion in the Small and in the Large (1964)A Theory of the Term Structure of Interest Rates (1985)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Business conditions and expected returns on stocks and bonds (1989)ARCH modeling in finance (1992)Convergence Across States and Regions (1991)The Purchasing Power Parity Puzzle (1996)Investor Psychology and Security Market Under‐ and Overreactions (1998)
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References

  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1976Expectations and Exchange Rate Dynamics4,704 cited
  • 1975LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING1,941 cited
  • 1988How Big Is the Random Walk in GNP?1,270 cited
  • 1990Anomalies: Foreign Exchange902 cited
  • 1986Nominal exchange rate regimes and the behavior of real exchange rates: Evidence and implications860 cited
  • 1988Was It Real? The Exchange Rate‐Interest Differential Relation over the Modern Floating‐Rate Period825 cited
  • 1989Forward Discount Bias: Is it an Exchange Risk Premium?715 cited
  • 1983Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates562 cited
  • 1991Real Exchange Rates under the Gold Standard415 cited
  • 1987An empirical investigation of the long-run behavior of real exchange rates395 cited
  • 1993Currency Hedging for International Portfolios316 cited
  • 1938Some Theoretical Problems Suggested by the Movements of Interest Rates, Bond Yields and Stock Prices in the United States Since 1856.248 cited
  • 1983Empirical Studies of Exchange Rates: Price Behavior, Rate Determinationand Market Efficiency

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206 cited
  • 1990The Foreign Exchange Market: Theory and Econometric Evidence.197 cited
  • Cited by

    • 1994Tax Policy and International Capital Flows77 cited
    • 2018Global Currency Hedging with Common Risk Factors74 cited
    • 2005Financial Integration and the Wealth Effect of Exchange Rate Fluctuations64 cited
    • 2001Do Momentum Based Strategies Still Work in Foreign Currency Markets?63 cited
    • 2003Foreign currency for long‐term investors62 cited
    • 1996The Exchange Rate Exposure of U.S. And Japanese Banking Institutions49 cited
    • 2010Currency Hedging for International Portfolios47 cited
    • 2007Strategic currency hedging and global portfolio investments upside down37 cited
    • 1999Exchange rate variation, commodity price variation and the implications for international trade34 cited
    • 2009Global Currency Hedging34 cited
    • 2001International Portfolio Investment: Theory, Evidence, and Institutional Framework29 cited
    • 2019Volatility and dynamic currency hedging26 cited
    • 1999International Capital Flows23 cited
    • 2009Global Currency Hedging23 cited
    • 2017Safe‐haven currency: An empirical identification22 cited
    • 2009The euro–dollar exchange rate and equity flows19 cited