Foreign Exchange Rate Exposure And Risk Premium In International Investments

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Foreign Exchange Rate Exposure and Risk Premium in International Investments

Author : Sung C. Bae
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Foreign Exchange Rate Exposure and Risk Premium in International Investments by : Sung C. Bae

Download or read book Foreign Exchange Rate Exposure and Risk Premium in International Investments written by Sung C. Bae and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine how exchange rate changes affect the security returns and how economic and translation exposure components of exchange rate risk are priced across countries. Employing ADRs of four countries, we document four main findings. First, exchange rate changes are negatively related to underlying share returns of ADRs, but positively to ADR returns observed in the U.S. markets. Second, ADR returns are more closely related to local market returns than U.S. market returns, indicating that the local market environment plays a bigger role in determining ADR returns. Third, U.S. and local investors require different risk premiums for exchange rate risk present in ADR investments. Fourth, both the source (economic or translation exposure) and magnitude (high or low) of the exchange risk premium vary across countries. We obtain robust empirical findings for both country ADR portfolios and individual ADRs.

International Investments

Author : Bruno H. Solnik
Publisher : Addison Wesley
ISBN 13 :
Total Pages : 792 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis International Investments by : Bruno H. Solnik

Download or read book International Investments written by Bruno H. Solnik and published by Addison Wesley. This book was released on 2003 with total page 792 pages. Available in PDF, EPUB and Kindle. Book excerpt: Provides comprehensive coverage of international investment concepts and theories. This book is useful for advanced undergraduates and MBA students, and for professionals working in the investments area.

Exchange Rates and Corporate Performance

Author : Yakov Amihud
Publisher : Beard Books
ISBN 13 : 9781587981593
Total Pages : 268 pages
Book Rating : 4.9/5 (815 download)

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Book Synopsis Exchange Rates and Corporate Performance by : Yakov Amihud

Download or read book Exchange Rates and Corporate Performance written by Yakov Amihud and published by Beard Books. This book was released on 2003 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a reprint of a previously published book. It consists of a series of papers by experts in the field on how the exchange rate volatility of the 1980s affected the financial policies of international firms.

The Economics of Foreign Exchange and Global Finance

Author : Peijie Wang
Publisher : Springer Science & Business Media
ISBN 13 : 9783540212379
Total Pages : 376 pages
Book Rating : 4.2/5 (123 download)

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Book Synopsis The Economics of Foreign Exchange and Global Finance by : Peijie Wang

Download or read book The Economics of Foreign Exchange and Global Finance written by Peijie Wang and published by Springer Science & Business Media. This book was released on 2005 with total page 376 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book presents all major subjects in international monetary theory, foreign exchange markets, international financial management and investment analysis. The book is relevant to real world problems in the sense that it provides guidance on how to solve policy issues as well as practical management tasks. This in turn helps the reader to gain an understanding of the theory and refines the framework. Various topics are interlinked so the book adopts a systematic treatment of integrated materials relating different theories under various circumstances and combining theory with practice. The text examines issues in international monetary policy and financial management in a practical way, focusing on the identification of the factors and players in foreign exchange markets and the international finance arena. The book can be used in graduate and advanced undergraduate programmes in international or global finance, international monetary economics, and international financial management.

Global Risk Premia on International Investments

Author :
Publisher : Springer-Verlag
ISBN 13 : 3663085287
Total Pages : 306 pages
Book Rating : 4.6/5 (63 download)

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Book Synopsis Global Risk Premia on International Investments by :

Download or read book Global Risk Premia on International Investments written by and published by Springer-Verlag. This book was released on 2013-07-01 with total page 306 pages. Available in PDF, EPUB and Kindle. Book excerpt: Implementing unconditional as well as conditional beta pricing models, the author identifies global economic factors that affect the performance of international investments.

Foreign Exchange Risk Premium

Author : Mr.Lorenzo Giorgianni
Publisher : International Monetary Fund
ISBN 13 : 1451845790
Total Pages : 40 pages
Book Rating : 4.4/5 (518 download)

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Book Synopsis Foreign Exchange Risk Premium by : Mr.Lorenzo Giorgianni

Download or read book Foreign Exchange Risk Premium written by Mr.Lorenzo Giorgianni and published by International Monetary Fund. This book was released on 1997-04-01 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper challenges the conventional view that foreign exchange risk premiums are small, not volatile, and unrelated to macroeconomic variables. For the Italian lira (1987-94), unconditional risk premiums—constructed using survey data to measure exchange rate expectations—are found to be sizable (relative to the dimension of the forward premium), highly volatile (relative to the variability of the forward bias), and predictable. Estimation of structural models of the risk premium suggests that anticipated fiscal contractions in Italy and lower uncertainty about the future path of fiscal policy are associated with a lower risk premium on lira-denominated assets.

International Finance

Author : Maurice D. Levi
Publisher : McGraw-Hill Companies
ISBN 13 :
Total Pages : 582 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis International Finance by : Maurice D. Levi

Download or read book International Finance written by Maurice D. Levi and published by McGraw-Hill Companies. This book was released on 1990 with total page 582 pages. Available in PDF, EPUB and Kindle. Book excerpt: This new edition has made greater use of appendices and asterisks in an effort to clarify certain parts of the text. There is new material on curves, countertrade, forfeiting currency options, theories of exchange rates and international asset pricing.

The World Price of Foreign Exchange Risk

Author : Bernard Dumas
Publisher :
ISBN 13 :
Total Pages : 54 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis The World Price of Foreign Exchange Risk by : Bernard Dumas

Download or read book The World Price of Foreign Exchange Risk written by Bernard Dumas and published by . This book was released on 2010 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: We consider a world capital market in which the investor population is heterogenous. Investors of different countries differ in the prices of goods at which they consume the income from their investments. In such a setting, the international CAPM incorporates rewards for exchange rate risk, in addition to the traditional reward for market-covariance risk. The aim of the paper is to determine whether these additional risk premia empirically playa significant role in the pricing of securities. The test being conducted is a test of a conditional version of the CAPM. It builds on the recent empirical literature which points out that stock market returns may, to some extent, be predicted on the basis of a number of instrumental variables, such as interest rates and dividend yields. All previous tests of the international CAPM with exchange risk premia have been tests of the unconditional version and have been inconclusive.

Currency Risk Premia in Global Stock Markets

Author : Shaun K. Roache
Publisher : International Monetary Fund
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis Currency Risk Premia in Global Stock Markets by : Shaun K. Roache

Download or read book Currency Risk Premia in Global Stock Markets written by Shaun K. Roache and published by International Monetary Fund. This book was released on 2006-08 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: Large fundamental imbalances persist in the global economy, with potential exchange rate implications. This paper assesses whether exchange rate risk is priced across G-7 stock markets. Given the multitude of hedging instruments available, theory suggests that stock market investors should not be compensated for currency risk. However, data covering 33 industry portfolios across seven major stock markets suggest that not only is exchange rate risk priced in many markets, but that it is time-varying and sensitive to currency-specific shocks. With stock market investors typically exhibiting "home bias," this suggests that investors are using equity asset proxies to hedge the exchange rate risks to consumption.

International Currency Exposure

Author : Yin-Wong Cheung
Publisher : MIT Press
ISBN 13 : 0262340933
Total Pages : 323 pages
Book Rating : 4.2/5 (623 download)

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Book Synopsis International Currency Exposure by : Yin-Wong Cheung

Download or read book International Currency Exposure written by Yin-Wong Cheung and published by MIT Press. This book was released on 2017-07-14 with total page 323 pages. Available in PDF, EPUB and Kindle. Book excerpt: Issues in debates about foreign currency exposure—the denomination of liabilities or assets in foreign currency. The foreign currency denomination of contracts in international transactions can lead to international currency exposure at the country level with important economic and policy implications. When debts are denominated in foreign currency and revenues in domestic currency, exchange rate fluctuations can result in balance sheet effects for countries with either net asset or liability positions. Moreover, currency mismatch between assets and liabilities can be a cause for crises in developing and emerging economies. This book looks at the issues surrounding foreign currency exposure in today's increasingly integrated world economy. The contributors draw on cross-country as well as country-specific data. They consider international currency risk after the Swiss franc ended its one-sided peg with the euro, for example, and the foreign exchange positions of firms in Turkey and Russia. Other contributors take macroeconomic perspectives, examining the potential effects of exchange rate realignment, the pressure to appreciate on countries with current account surpluses, and the currency exposure in international trade. Finally, contributors consider the issue from finance and political economy perspectives, addressing the phenomenon of the forward premium puzzle and discussing geopolitical aspects ascending currencies. Contributors Fatih Altunok, Huseyin Aytug, Agustín S. Bénétrix, Jörg Breitung, Paul De Grauwe, Eiji Fujii, Peter Garber, Juann H. Hung, Signe Krogstrup, Philip R. Lane, Katja Mann, Arif Oduncu, Gunther Schnabl, Maria V. Sokolova, Cédric Tille

International Investments

Author : Bruno Solnik
Publisher : Addison-Wesley Longman
ISBN 13 :
Total Pages : 420 pages
Book Rating : 4.0/5 ( download)

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Book Synopsis International Investments by : Bruno Solnik

Download or read book International Investments written by Bruno Solnik and published by Addison-Wesley Longman. This book was released on 1991 with total page 420 pages. Available in PDF, EPUB and Kindle. Book excerpt:

International Financial Management

Author : Donald R. Lessard
Publisher : John Wiley & Sons
ISBN 13 :
Total Pages : 616 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis International Financial Management by : Donald R. Lessard

Download or read book International Financial Management written by Donald R. Lessard and published by John Wiley & Sons. This book was released on 1985 with total page 616 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Managing Risk in International Business

Author : Ephraim Clark
Publisher :
ISBN 13 :
Total Pages : 400 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis Managing Risk in International Business by : Ephraim Clark

Download or read book Managing Risk in International Business written by Ephraim Clark and published by . This book was released on 1996 with total page 400 pages. Available in PDF, EPUB and Kindle. Book excerpt: Shows how to measure and manage the risks that arise in international business activities such as importing, exporting, borrowing, lending and investing in emerging markets. Draws upon examples and cases including the Mexican Peso crisis of 1994

Global Investments

Author : Bruno Solnik
Publisher : Pearson Higher Ed
ISBN 13 : 013384949X
Total Pages : 689 pages
Book Rating : 4.1/5 (338 download)

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Book Synopsis Global Investments by : Bruno Solnik

Download or read book Global Investments written by Bruno Solnik and published by Pearson Higher Ed. This book was released on 2014-01-27 with total page 689 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the eBook of the printed book and may not include any media, website access codes, or print supplements that may come packaged with the bound book. For courses in International Investment. Global Investments, the Sixth Edition of the previously titled International Investments, provides accessible coverage of international capital markets using numerous examples to illustrate the applications of concepts and theories. The new title reflects the current understanding that the distinction between domestic and international is no longer relevant and that asset management is global. This book is ideal for CFA® (Chartered Financial Analyst) candidates, advanced finance undergraduates, and MBA individuals, and it has been selected by the CFA Institute as part of the curriculum to deliver the Candidate Body of Knowledge for the CFA. The text is also widely used by professionals working in the investments area, as the level is accessible to readers and portfolio managers without recent training in portfolio theory.

Currency Hedging for International Portfolios

Author : Jochen M. Schmittmann
Publisher : International Monetary Fund
ISBN 13 : 1455200557
Total Pages : 47 pages
Book Rating : 4.4/5 (552 download)

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Book Synopsis Currency Hedging for International Portfolios by : Jochen M. Schmittmann

Download or read book Currency Hedging for International Portfolios written by Jochen M. Schmittmann and published by International Monetary Fund. This book was released on 2010-06-01 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the benefits from hedging the currency exposure of international investments in single- and multi-country equity and bond portfolios from the perspectives of German, Japanese, British and American investors. Over the period 1975 to 2009, hedging of currency risk substantially reduced the volatility of foreign investments at a quarterly investment horizon. Contrary to previous studies, the paper finds that at longer investment horizons of up to five years the case for hedging for risk reduction purposes remained strong.In addition to its impact on risk, hedging affected returns in economically meaningful magnitudes in some cases.

Foreign Exchange Rates and International Finance

Author : John N. Kallianiotis
Publisher :
ISBN 13 : 9781536165500
Total Pages : 0 pages
Book Rating : 4.1/5 (655 download)

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Book Synopsis Foreign Exchange Rates and International Finance by : John N. Kallianiotis

Download or read book Foreign Exchange Rates and International Finance written by John N. Kallianiotis and published by . This book was released on 2019 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: History of monetary system --Balance of payments and exchange rates --The foreign exchange markets --Exchange rate determination and forecasting --Exchange rates and international parity conditions --Foreign currency derivatives --Foreign exchange exposure and its management --Multinational corporations and international cost of capital --Multinational capital budgeting --Foreign direct investment and portfolio theory --International trade finance --Political risk and its management.

Foreign Exchange Intervention Rules for Central Banks: A Risk-based Framework

Author : Romain Lafarguette
Publisher : International Monetary Fund
ISBN 13 : 1513569406
Total Pages : 33 pages
Book Rating : 4.5/5 (135 download)

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Book Synopsis Foreign Exchange Intervention Rules for Central Banks: A Risk-based Framework by : Romain Lafarguette

Download or read book Foreign Exchange Intervention Rules for Central Banks: A Risk-based Framework written by Romain Lafarguette and published by International Monetary Fund. This book was released on 2021-02-12 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a rule for foreign exchange interventions (FXI), designed to preserve financial stability in floating exchange rate arrangements. The FXI rule addresses a market failure: the absence of hedging solution for tail exchange rate risk in the market (i.e. high volatility). Market impairment or overshoot of exchange rate between two equilibria could generate high volatility and threaten financial stability due to unhedged exposure to exchange rate risk in the economy. The rule uses the concept of Value at Risk (VaR) to define FXI triggers. While it provides to the market a hedge against tail risk, the rule allows the exchange rate to smoothly adjust to new equilibria. In addition, the rule is budget neutral over the medium term, encourages a prudent risk management in the market, and is more resilient to speculative attacks than other rules, such as fixed-volatility rules. The empirical methodology is backtested on Banco Mexico’s FXIs data between 2008 and 2016.