SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Equilibrium Exchange Rate Hedging
16 references·0 citing·47 second hop
Equilibrium Exchange Rate Hedging (1989)Equilibrium Exchange Rate HedgingMean Reversion and Consumption Smoothing (1990)Mean Reversion and Consumptio…Recent estimates of time-variation in the conditional variance and in the exchange risk premium (1988)Recent estimates of time-vari…Exchange Rate Uncertainty, Forward Contracts, and International Portfolio Selection (1988)Exchange Rate Uncertainty, Fo…Forecasting the volatility of currency exchange rates (1987)Forecasting the volatility of…Real Exchange Rate Variability: An Empirical Analysis of the Developing Countries Case (1986)Real Exchange Rate Variabilit…Exchange risk surprises in international portfolios (1986)Exchange risk surprises in in…The equity premium: A puzzle (1985)The equity premium: A puzzleExposure to Currency Risk: Definition and Measurement (1984)Exposure to Currency Risk: De…International Portfolio Choice and Corporation Finance: A Synthesis (1983)International Portfolio Choic…A model of international asset pricing (1981)A model of international asse…An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)An intertemporal asset pricin…THE DEMAND FOR RISKY ASSETS (1977)THE DEMAND FOR RISKY ASSETSA pure foreign exchange asset pricing model (1977)A pure foreign exchange asset…Sharing rules and equilibrium in an international capital market under uncertainty (1976)Sharing rules and equilibrium…An equilibrium model of the international capital market (1974)An equilibrium model of the i…Risk, Interest Rates and the Forward Exchange (1972)Risk, Interest Rates and the …Criteria for Choice Among Risky Ventures (1959)An Intertemporal Capital Asset Pricing Model (1973)The Rationale of the Mean-Standard Deviation Analysis, Skewness Preference, and the Demand for Money (1989)Why do people pay taxes? (1992)Economic foundations of cost-effectiveness analysis (1997)Inequality, Social Insurance, and Redistribution (2001)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)The pricing of commodity contracts (1976)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Forecasting volatility in commodity markets (1995)A Multiple Indicators Model for Volatility Using Intra-Daily Data (2003)The Financial Performance of a Socially Responsible Investment Over Time and a Possible Link with Corporate Social Responsibility (2005)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)Time‐Varying World Market Integration (1995)Value versus Growth: The International Evidence (1998)Home Bias at Home: Local Equity Preference in Domestic Portfolios (1999)The cost of capital, corporation finance and the theory of investment (2008)A Note on Uncertainty and Indifference Curves (1969)Size, value, and momentum in international stock returns (2012)… and the Cross-Section of Expected Returns (2015)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)A Theory of the Term Structure of Interest Rates (1985)Efficient Capital Markets: II (1991)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Common risk factors in the returns on stocks and bonds (1993)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)Chapter 15 The specification and influence of asset markets (1985)Some tests of international equity integration (1988)Capital Controls and International Capital Market Segmentation: The Evidence from the Japanese and American Stock Markets (1989)Optimum consumption and portfolio rules in a continuous-time model (1971)Are Government Bonds Net Wealth? (1974)Empirical Tests of the Consumption‐Oriented CAPM (1989)The World Price of Foreign Exchange Risk (1995)International Asset Pricing and Portfolio Diversification with Time-Varying Risk (1997)International Diversification of Investment Portfolios (1970)An Analytic Derivation of the Efficient Portfolio Frontier (1972)The sensitivity of bank stock returns to market, interest and exchange rate risks (1992)Currency Hedging for International Portfolios (1993)Systematic Risk of the Multinational Corporation (1998)Asset Prices in an Exchange Economy (1978)Time to Build and Aggregate Fluctuations (1982)Noise Trader Risk in Financial Markets (1990)ARCH modeling in finance (1992)The Pricing of Exchange Rate Risk in the Stock Market (1991)Exchange rate exposure and industry characteristics: evidence from Canada, Japan, and the USA (1993)The Global Crisis and Equity Market Contagion (2014)
this work references cited by second hop

References

  • 1985The equity premium: A puzzle5,785 cited
  • 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities2,694 cited
  • 1983International Portfolio Choice and Corporation Finance: A Synthesis1,447 cited
  • 1974An equilibrium model of the international capital market1,130 cited
  • 1977THE DEMAND FOR RISKY ASSETS1,052 cited
  • 1981A model of international asset pricing807 cited
  • 1984Exposure to Currency Risk: Definition and Measurement792 cited
  • 1976Sharing rules and equilibrium in an international capital market under uncertainty384 cited
  • 1988Exchange Rate Uncertainty, Forward Contracts, and International Portfolio Selection360 cited
  • 1987Forecasting the volatility of currency exchange rates187 cited
  • 1972Risk, Interest Rates and the Forward Exchange176 cited
  • 1977A pure foreign exchange asset pricing model81 cited
  • 1986Exchange risk surprises in international portfolios69 cited
  • 1988Recent estimates of time-variation in the conditional variance and in the exchange risk premium53 cited
  • 1990Mean Reversion and Consumption Smoothing42 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

1986
Real Exchange Rate Variability: An Empirical Analysis of the Developing Countries Case
30 cited

Cited by

No citing works inside the corpus for this window.