全球智库信息集成服务系统(G2TT): Currency Management by International Fixed Income Mutual Funds

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w29082
来源ID	Working Paper 29082
	Currency Management by International Fixed Income Mutual Funds
	Clemens Sialm; Qifei Zhu
发表日期	2021-07-26
出版年	2021
语种	英语
摘要	Investments in international fixed income securities are exposed to significant currency risks. We collect novel data on mutual fund currency derivatives and document that around 90% of U.S. international fixed income funds use currency forwards to manage their foreign exchange exposure. Funds' currency forward positions differ substantially based on risk management demands related to portfolio currency exposures, return-enhancement motives such as currency momentum and carry trade, and strategic considerations related to past performance and fund clienteles. Funds that hedge their currency risk exhibit lower return variability, but do not generate inferior abnormal returns.
主题	International Economics ; International Factor Mobility ; International Finance ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; Financial Institutions ; Corporate Finance
URL	https://www.nber.org/papers/w29082
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/586756
推荐引用方式 GB/T 7714	Clemens Sialm,Qifei Zhu. Currency Management by International Fixed Income Mutual Funds. 2021.