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SSRN Electronic Journal, 2000
Abstract This paper investigates the optimal hedging strategy of a domestic expected utility maximizer endowed with a temporarily non-traded position in a foreign investment. The domestic and foreign yield curves, the exchange rate between the two involved currencies, and the foreign investment value are stochastic and obey fairly general diffusion ...
Abraham Lioui, Patrice Poncet
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Abstract This paper investigates the optimal hedging strategy of a domestic expected utility maximizer endowed with a temporarily non-traded position in a foreign investment. The domestic and foreign yield curves, the exchange rate between the two involved currencies, and the foreign investment value are stochastic and obey fairly general diffusion ...
Abraham Lioui, Patrice Poncet
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SSRN Electronic Journal, 2021
We study a large currency cross section using recently developed asset pricing methods. First, we show that the implied pricing kernel includes three latent factors: a strong U.S. `Dollar' level factor, and two weak, high Sharpe ratio `Carry' and `Momentum' slope factors. The evidence for an additional 'Value' factor is scant.
Federico Nucera +2 more
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We study a large currency cross section using recently developed asset pricing methods. First, we show that the implied pricing kernel includes three latent factors: a strong U.S. `Dollar' level factor, and two weak, high Sharpe ratio `Carry' and `Momentum' slope factors. The evidence for an additional 'Value' factor is scant.
Federico Nucera +2 more
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Vision: The Journal of Business Perspective, 1998
With market frontiers expanding and financial price volatility and risk going up, management of foreign exchange risk assumes importance. The implications of increased involvement of Indian companies in international trade and finance require managers to measure the foreign exchange exposure and manage it to maximise profitability, net cash flow and ...
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With market frontiers expanding and financial price volatility and risk going up, management of foreign exchange risk assumes importance. The implications of increased involvement of Indian companies in international trade and finance require managers to measure the foreign exchange exposure and manage it to maximise profitability, net cash flow and ...
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Currency-related risk and risk premium in the world's currency market
European Economic Review, 1983Abstract The foreign exchange market has become a major arena for investment activity for both corporate and individual investors. Intensive and widespread international investment activity makes the empirical estimation of exchange risk a very topical subject. In this connection, the classic controversy between Hicks and Telser assumes new relevance.
Tamir Agmon, Ruth Arad
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1990
We have seen in Chapter 10 methodologies whereby to represent uncertainty and manipulate uncertainty-affected propositions. One particular class of uncertainty is the likelihood of the loss (or gain) of an asset or of return on it, which in a generic way can be one definition of “risk”.
Louis F. Pau, Claudio Gianotti
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We have seen in Chapter 10 methodologies whereby to represent uncertainty and manipulate uncertainty-affected propositions. One particular class of uncertainty is the likelihood of the loss (or gain) of an asset or of return on it, which in a generic way can be one definition of “risk”.
Louis F. Pau, Claudio Gianotti
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2018
This book demonstrates how exporters’ decisions regarding choice of invoice currency can be influenced by many factors including firm size, product competitiveness, intra/inter-firm trades, and the geography of export destination. The aim is to enhance our understanding of exporters’ behavior in terms of managing currency risk.
Junko Shimizu +3 more
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This book demonstrates how exporters’ decisions regarding choice of invoice currency can be influenced by many factors including firm size, product competitiveness, intra/inter-firm trades, and the geography of export destination. The aim is to enhance our understanding of exporters’ behavior in terms of managing currency risk.
Junko Shimizu +3 more
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Intertemporal Risk and Currency Risk
2012國際企業學系 ; 管理學院 ...
Hung, Mao-Wei, Chang, J.
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Currency Risk in Currency Unions
2013Sovereign yield spreads within currency unions may reflect the risk of outright default. Yet, if exit from the currency union is possible, spreads may also reflect currency risk. In this paper, we develop a New Keynesian model of a small member country of a currency union, allowing both for default within and exit from the union.
Kriwoluzky, Alexander +2 more
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Asymmetric currency exposure and currency risk pricing
International Review of Financial Analysis, 2008Abstract Whether stock returns are linked to currency movements and whether currency risk is priced in a domestic context are less conclusive and thus still subject to a great debate. Based on a different approach, this paper attempts to provide new empirical evidence on these two inter-related issues, which are critical to investors and corporate ...
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Currency Risk and Relative Price Risk
The Journal of Financial and Quantitative Analysis, 1984This paper demonstrates the strong linkages that exist between currency risk, represented by inflation risk and exchange rate changes, and relative price risk. These linkages affect the optional quantities of forward exchange contracts, nominal debt, and fixed price sales (purchase) contracts to use in hedging against these risks.
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