G2TT
来源类型Working Paper
规范类型报告
DOI10.3386/w4340
来源IDWorking Paper 4340
Internationally Diversified Bond Portfolios: The Merits of Active Currency Risk Management
Richard M. Levich; Lee R. Thomas
发表日期1993-04-01
出版年1993
语种英语
摘要A new statistical procedure is used to test for weak form efficiency in the foreign exchange futures markets. Using daily currency futures prices for the 1976-1990 period, we conclude that successive exchange rate changes have not been independent We examine the implications of this finding for two groups of investors: (1) return seeking investors considering foreign exchange as a separate asset class; (2) international portfolio investors deciding whether or not to currency hedge the foreign exchange rate exposures embedded in their non-dollar investments. Using the currency futures data and monthly data on 10-year dollar and non-dollar bonds, we conclude that active currency risk management, based on a simple application of technical trading signals, can substantially improve the risk-return opportunities for both groups of investors in comparison to passive currency strategies.
主题Financial Economics ; Financial Institutions ; International Economics ; International Finance
URLhttps://www.nber.org/papers/w4340
来源智库National Bureau of Economic Research (United States)
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条目标识符http://119.78.100.153/handle/2XGU8XDN/561703
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Richard M. Levich,Lee R. Thomas. Internationally Diversified Bond Portfolios: The Merits of Active Currency Risk Management. 1993.
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