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Global Currency Hedging by JOHN Y. CAMPBELL; KARINE SERFATY‐DE MEDEIROS; LUIS M. VICEIRA is a Economics, Econometrics and Finance article available to read on EtoBox.

What is Global Currency Hedging about?

## ABSTRACT Over the period 1975 to 2005, the U.S. dollar (particularly in relation to the Canadian dollar), the euro, and the Swiss franc (particularly in the second half of the period) moved against world equity markets. Thus, these currencies should be attractive to risk‐minimizing global equity investors despite their low average returns. The risk‐minimizing currency strategy for a global bond investor is close to a full currency hedge, with a modest long position in the U.S. dollar. There is little evidence that risk‐minimizing investors should adjust their currency positions in response to movements in interest differentials.

Who reads Global Currency Hedging?

Author

JOHN Y. CAMPBELL; KARINE SERFATY‐DE MEDEIROS; LUIS M. VICEIRA

Publisher

Wiley

Published

2010

Language

EN

Field

Economics, Econometrics and Finance (Social Sciences)