Global Currency Hedging

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Global Currency Hedging

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Title: Global Currency Hedging
Author: Viceira, Luis; Serfaty-de Medeiros, Karine; Campbell, John

Note: Order does not necessarily reflect citation order of authors.

Citation: Campbell, John Y., Karine Serfaty-de Medeiros, and Luis M. Viceira. Forthcoming. Global currency hedging. Journal of Finance 64.
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Abstract: Over the period 1975 to 2005, the US dollar (particularly in relation to the Canadian dollar) and the euro and Swiss franc (particularly in the second half of the period) have moved against world equity markets. Thus these currencies should be attractive to risk-minimizing global equity investors despite their low average returns. The risk-minimizing currency strategy for a global bond investor is close to a full currency hedge, with a modest long position in the US dollar. There is little evidence that risk-minimizing investors should adjust their currency positions in response to movements in interest differentials.
Published Version: http://www.afajof.org/
Terms of Use: This article is made available under the terms and conditions applicable to Open Access Policy Articles, as set forth at http://nrs.harvard.edu/urn-3:HUL.InstRepos:dash.current.terms-of-use#OAP
Citable link to this page: http://nrs.harvard.edu/urn-3:HUL.InstRepos:3153308

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  • FAS Scholarly Articles [6464]
    Peer reviewed scholarly articles from the Faculty of Arts and Sciences of Harvard University
 
 

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