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On Universal Currency Hedges
14 references·6 citing·46 second hop
On Universal Currency Hedges (1992)On Universal Currency HedgesUniversal Hedging: Optimizing Currency Risk and Reward in International Equity Portfolios (1995)Universal Hedging: Optimizing…Equilibrium Exchange Rate Hedging (1990)Equilibrium Exchange Rate Hed…The Time Variation of Risk and Return in the Foreign Exchange and Stock Markets (1989)The Time Variation of Risk an…Capital Flow Controls, International Asset Pricing, and Investors' Welfare: A Multi-Country Framework (1989)Capital Flow Controls, Intern…The Free Lunch in Currency Hedging: Implications for Investment Policy and Peformance Standards (1988)The Free Lunch in Currency He…Exchange risk surprises in international portfolios (1986)Exchange risk surprises in in…A Model of International Asset Pricing with a Constraint on the Foreign Equity Ownership (1986)A Model of International Asse…Optimal Hedging Policies (1984)Optimal Hedging PoliciesInternational Portfolio Choice and Corporation Finance: A Synthesis (1983)International Portfolio Choic…On the Effects of Barriers to International Investment (1981)On the Effects of Barriers to…A model of international asset pricing (1981)A model of international asse…International capital market equilibrium with investment barriers (1974)International capital market …An equilibrium model of the international capital market (1974)An equilibrium model of the i…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Strategic currency hedging and global portfolio investments upside down (2007)Strategic currency hedging an…Hedging the exchange rate risk in international portfolio diversification (2007)Hedging the exchange rate ris…International Portfolio Investment: Theory, Evidence, and Institutional Framework (2001)International Portfolio Inves…International equity investment with selective hedging strategies (1997)International equity investme…Currency Hedging and Siegel's Paradox: On Black's Universal Hedging Rule* (1993)Currency Hedging and Siegel's…Optimal currency hedge ratios and interest rate risk (1992)Optimal currency hedge ratios…The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)The Determinants of Firms' Hedging Policies (1985)The theory of financial intermediation (1997)The dark side of diversification: The case of US financial holding companies (2005)CEOs versus CFOs: Incentives and corporate policies (2010)International Asset Pricing under Mild Segmentation: Theory and Test (1985)Market Segmentation and Stock Prices: Evidence from an Emerging Market (1997)Market Segmentation and the Cost of Capital in International Equity Markets (2000)Chapter 16 Are financial assets priced locally or globally? (2003)Capital Market Equilibrium with Restricted Borrowing (1972)The capital asset pricing model: Some empirical tests (1972)Integration vs. Segmentation in the Canadian Stock Market (1986)An Equilibrium Model with Restricted Stock Market Participation (1998)Are Financial Assets Priced Locally or Globally? (2002)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)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)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)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)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Dynamic Equilibrium and the Real Exchange Rate in a Spatially Separated World (1992)Home Bias in Equity Portfolios, Inflation Hedging, and International Capital Market Equilibrium (1994)The market reaction to international cross-listings: evidence from Depositary Receipts (1999)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)The equity premium: A puzzle (1985)Testing the CAPM with Time-Varying Risks and Returns (1991)A New Approach to International Arbitrage Pricing (1993)Fundamental determinants of national equity market returns: A perspective on conditional asset pricing (1997)Do the Portfolios of Small Investors Reflect Positive Feedback Trading? (2000)The relationships between sentiment, returns and volatility (2005)Commodity Liquidity Measurement and Transaction Costs (2011)
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References

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  • 1974An equilibrium model of the international capital market1,130 cited
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  • 1986A Model of International Asset Pricing with a Constraint on the Foreign Equity Ownership349 cited
  • 1988The Free Lunch in Currency Hedging: Implications for Investment Policy and Peformance Standards231 cited
  • 1989The Time Variation of Risk and Return in the Foreign Exchange and Stock Markets185 cited
  • 1990Equilibrium Exchange Rate Hedging160 cited
  • 1989Capital Flow Controls, International Asset Pricing, and Investors' Welfare: A Multi-Country Framework157 cited
  • 1995Universal Hedging: Optimizing Currency Risk and Reward in International Equity Portfolios123 cited
  • 1986Exchange risk surprises in international portfolios69 cited

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  • 2007Strategic currency hedging and global portfolio investments upside down

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37 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 diversification26 cited
  • 1993Currency Hedging and Siegel's Paradox: On Black's Universal Hedging Rule*26 cited