Publication: Global Currency Hedging
Open/View Files
Date
2009
Published Version
Journal Title
Journal ISSN
Volume Title
Publisher
Blackwell Publishing
The Harvard community has made this article openly available. Please share how this access benefits you.
Citation
Campbell, John Y., Karine Serfaty-de Medeiros, and Luis M. Viceira. Forthcoming. Global currency hedging. Journal of Finance 64.
Research Data
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.
Description
Other Available Sources
Keywords
Terms of Use
This article is made available under the terms and conditions applicable to Open Access Policy Articles (OAP), as set forth at Terms of Service