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Exchange risk surprises in international portfolios
5 references·12 citing·47 second hop
Exchange risk surprises in international portfolios (1986)Exchange risk surprises in international …The Exposure of Long-Term Foreign Currency Bonds (1980)The Exposure of Long-Term For…The Hedging Performance of the New Futures Markets (1979)The Hedging Performance of th…THE THEORY OF THE TRADING FIRM REVISITED (1978)THE THEORY OF THE TRADING FIR…The Valuation of Uncertain Income Streams and the Pricing of Options (1976)The Valuation of Uncertain In…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Exchange rate regimes and foreign exchange exposure: The case of emerging market firms (2014)Exchange rate regimes and for…Exchange rate risk and the equity performance of financial intermediaries (2012)Exchange rate risk and the eq…Hedging the exchange rate risk in international portfolio diversification (2007)Hedging the exchange rate ris…The Exchange Rate Exposure Puzzle (2005)The Exchange Rate Exposure Pu…International Portfolio Investment: Theory, Evidence, and Institutional Framework (2001)International Portfolio Inves…International Portfolio Investment: Theory, Evidence, and Institutional Framework (2001)International Portfolio Inves…International equity investment with selective hedging strategies (1997)International equity investme…Chapter 6 International portfolio choice and asset pricing: An integrative survey (1995)Chapter 6 International portf…Optimal currency hedge ratios and interest rate risk (1992)Optimal currency hedge ratios…On Universal Currency Hedges (1992)On Universal Currency HedgesExchange risk and international diversification in bond and equity portfolios (1991)Exchange risk and internation…Equilibrium Exchange Rate Hedging (1989)Equilibrium Exchange Rate Hed…International Diversification of Investment Portfolios (1970)Why Not Diversify Internationally Rather Than Domestically? (1974)Exchange Rate Uncertainty, Forward Contracts, and International Portfolio Selection (1988)The Role of Currency Derivatives in Internationally Diversified Portfolios (1997)Determinants of household saving and portfolio choice behaviour in Turkey (2013)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)An Intertemporal Capital Asset Pricing Model (1973)An equilibrium model of the international capital market (1974)International Portfolio Choice and Corporation Finance: A Synthesis (1983)Strategic currency hedging and global portfolio investments upside down (2007)An aggregation theorem for securities markets (1974)CAPITAL BUDGETING AND THE CAPITAL ASSET PRICING MODEL: GOOD NEWS AND BAD NEWS (1977)On the Inverse of the Covariance Matrix in Portfolio Analysis (1998)The Time-Variation of the Exchange-Rate Exposure: An Industry Analysis (1998)Exchange Rate Exposure at the Firm and Industry Level (2003)Risk and return in finance (1977)A Simple Approach to the Valuation of Risky Streams (1978)Commodity Futures and Spot Price Determination and Hedging in Capital Market Equilibrium (1979)Estimation of foreign exchange exposure: an emerging market application (2002)International Trade and the Forward Exchange Market (2016)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Explaining Stock Market Correlation: A Gravity Model Approach (2002)Dependence structures in Chinese and US financial markets: a time-varying conditional copula approach (2010)Information Flow between Global Equities and Cryptocurrencies: A VMD‐Based Entropy Evaluating Shocks from COVID‐19 Pandemic (2021)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)ARCH modeling in finance (1992)Market Liquidity and Funding Liquidity (2008)Reviewing emerging markets: context, concepts and future research (2018)The role of inflation targeting in international debt denomination in developing countries (2018)Toward an Integrated Policy Framework (2020)Economic Forces and the Stock Market (1986)Investor Diversification and International Equity Markets (1991)An Evaluation of International Asset Pricing Models (2002)The cost of capital in international financial markets: local or global? (2002)International financial integration and income inequality in a stochastically growing economy (2019)Bivariate garch estimation of the optimal commodity futures Hedge (1991)Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993)Financing Policy, Basis Risk, and Corporate Hedging: Evidence from Oil and Gas Producers (2000)Implied Binomial Trees (1994)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)The Adaptive Markets Hypothesis (2004)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1976The Valuation of Uncertain Income Streams and the Pricing of Options1,620 cited
  • 1979The Hedging Performance of the New Futures Markets1,566 cited
  • 1978THE THEORY OF THE TRADING FIRM REVISITED150 cited
  • 1980The Exposure of Long-Term Foreign Currency Bonds83 cited

Cited by

  • 2001International Portfolio Investment: Theory, Evidence, and Institutional Framework69 cited
  • 1991Exchange risk and international diversification in bond and equity portfolios56 cited
  • 2014Exchange rate regimes and foreign exchange exposure: The case of emerging market firms51 cited
  • 1995Chapter 6 International portfolio choice and asset pricing: An integrative survey41 cited
  • 1992On Universal Currency Hedges39 cited
  • 2012Exchange rate risk and the equity performance of financial intermediaries33 cited
  • 1997International equity investment with selective hedging strategies32 cited
  • 2001International Portfolio Investment: Theory, Evidence, and Institutional Framework29 cited
  • 1992Optimal currency hedge ratios and interest rate risk27 cited
  • 2007Hedging the exchange rate risk in international portfolio diversification

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26 cited
  • 1989Equilibrium Exchange Rate Hedging26 cited
  • 2005The Exchange Rate Exposure Puzzle21 cited