| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w19963 |
| 来源ID | Working Paper 19963 |
| Uncovered Equity Parity and Rebalancing in International Portfolios | |
| Stephanie E. Curcuru; Charles P. Thomas; Francis E. Warnock; Jon Wongswan | |
| 发表日期 | 2014-03-06 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | Portfolio rebalancing is a key driver of the Uncovered Equity Parity (UEP) condition. According to UEP, when foreign equity holdings outperform domestic holdings, domestic investors are exposed to higher exchange rate exposure and hence repatriate some of the foreign equity to decrease their exchange rate risk. By doing so, foreign currency is sold, leading to foreign currency depreciation. We examine the relationship between U.S. investors' portfolio reallocations and returns and find some evidence consistent with UEP: Portfolio shifts are related to past returns in the underlying equity markets. But we argue that a motive other than reducing currency risk exposure is likely behind this rebalancing. In particular, U.S. investors may be exploiting mean reversion in underlying equity markets, rebalancing away from equity markets that recently performed well and moving into equity markets market just prior to relatively strong performance. Such behavior suggests tactical reallocations to increase returns rather than reduce risk. |
| 主题 | International Economics ; International Factor Mobility ; International Finance ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w19963 |
| 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/577637 |
| 推荐引用方式 GB/T 7714 | Stephanie E. Curcuru,Charles P. Thomas,Francis E. Warnock,et al. Uncovered Equity Parity and Rebalancing in International Portfolios. 2014. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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