| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w4340 |
| 来源ID | Working 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 |
| URL | https://www.nber.org/papers/w4340 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/561703 |
| 推荐引用方式 GB/T 7714 | Richard M. Levich,Lee R. Thomas. Internationally Diversified Bond Portfolios: The Merits of Active Currency Risk Management. 1993. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w4340.pdf（2501KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
