An Investigation of Risk and Return in Forward Foreign Exchange PDF Download
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Author: Robert J. Hodrick
Publisher:
ISBN:
Category : Foreign exchange
Languages : en
Pages : 53
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Book Description
This paper examines the determination of risk premiums in foreign exchange markets. The statistical model is based on a theoretical model of asset pricing, which leads to severe cross-equation constraints. Statistical tests lead to a rejection of these constraints. We examine the robustness of these tests to time variation in parameters and to the presence of heteroskedasticity. We find that there is evidence for heteroskedasticity and that the conditional expectation of the risk premium is a nonlinear function of the forward premium. Accounting for this nonlinearity, the specification appears to be time invariant. Out of sample portfolio speculaton is profItable but risky
Author: Robert J. Hodrick
Publisher:
ISBN:
Category : Foreign exchange
Languages : en
Pages : 53
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Book Description
This paper examines the determination of risk premiums in foreign exchange markets. The statistical model is based on a theoretical model of asset pricing, which leads to severe cross-equation constraints. Statistical tests lead to a rejection of these constraints. We examine the robustness of these tests to time variation in parameters and to the presence of heteroskedasticity. We find that there is evidence for heteroskedasticity and that the conditional expectation of the risk premium is a nonlinear function of the forward premium. Accounting for this nonlinearity, the specification appears to be time invariant. Out of sample portfolio speculaton is profItable but risky
Author: Robert J. Hodrick
Publisher: CRC Press
ISBN: 1000943380
Category : Mathematics
Languages : en
Pages : 190
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Book Description
This book presents a critical review of the empirical literature that studies the efficiency of the forward and futures markets for foreign exchange. It provides a useful foundation for research in developing quantitative measures of risk and expected return in international finance.
Author: Courtenay C. Stone
Publisher: Springer Science & Business Media
ISBN: 9400926650
Category : Business & Economics
Languages : en
Pages : 238
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Book Description
Proceedings of the Eleventh Annual Economic Policy Conference of the Federal Reserve Bank of St. Louis
Author: R. Hodrick
Publisher: Routledge
ISBN: 1136455213
Category : Business & Economics
Languages : en
Pages : 185
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Book Description
First Published in 2001. Routledge is an imprint of Taylor & Francis, an informa company.
Author: Janice Moulton Westerfield
Publisher:
ISBN:
Category : Foreign exchange futures
Languages : en
Pages : 24
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Book Description
Author: Robert J. Hodrick
Publisher: CRC Press
ISBN: 1000950026
Category : Mathematics
Languages : en
Pages : 198
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Book Description
This book presents a critical review of the empirical literature that studies the efficiency of the forward and futures markets for foreign exchange. It provides a useful foundation for research in developing quantitative measures of risk and expected return in international finance.
Author: Richard J. Herring
Publisher: Cambridge University Press
ISBN: 9780521311205
Category : Business & Economics
Languages : en
Pages : 254
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Book Description
A collection of essays about foreign exchange risk and how to cope with it.
Author: Robert J. Hodrick
Publisher:
ISBN: 9781003420385
Category : MATHEMATICS
Languages : en
Pages : 0
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Book Description
This book presents a critical review of the empirical literature that studies the efficiency of the forward and futures markets for foreign exchange. It provides a useful foundation for research in developing quantitative measures of risk and expected return in international finance.
Author: Lars Oxelheim
Publisher: John Wiley & Sons
ISBN: 1119598907
Category : Business & Economics
Languages : en
Pages : 177
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Book Description
A practical and accessible guide that demystifies ForEx risk for managers in all areas of business Virtually any organisation active in the global economy is impacted by fluctuations in foreign exchange (FX or ForEx) markets. Managers need to understand this increasingly complex issue and measure their firm’s exposure to risk. Corporate Foreign Exchange Risk Management is an in-depth yet accessible guide on effective ForEx exposure management. Designed for professionals responsible for managing a profit & loss or balance sheet influenced by ForEx fluctuations, it enables risk managers to navigate the interconnected worlds of financial management and economics. This innovative guide integrates academic discussion of the economics of risk management decisions and pragmatic advice for various situations in which performance measures affected by accounting standards are paid considerable attention. Readers are provided with the tools and knowledge required to handle a broad range of issues related to ForEx risk management. Clear, non-technical chapters demystify concepts that often appear complicated and confusing to managers. Written by globally-recognised experts in corporate finance, risk management and international business, this book: Employs a reader-friendly narrative style to explain complex concepts Provides a clear, actionable risk management strategy which can be used in a variety of businesses Places all concepts in relatable, real-world contexts Explains important academic research to practitioners in plain English Includes effective pedagogical tools and explanations, straightforward examples and end-of-chapter summaries which highlight key points Corporate Foreign Exchange Risk Management is a must-read for any manager who deals with corporate exposure to ForEx risk, as well as analysts wishing to better understand the relation between corporate performance and ForEx fluctuations and students of corporate risk management.
Author: Eugene F. Fama
Publisher: University of Chicago Press
ISBN: 022642698X
Category : Business & Economics
Languages : en
Pages : 826
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Book Description
This collection of the most influential work of the Nobel Prize laureate in economic sciences serves as an introduction for a new generation of readers. Few scholars have been as influential in finance and economics as University of Chicago professor Eugene F. Fama. Over the course of a brilliant and productive career, Fama has published more than one hundred papers, filled with diverse, highly innovative contributions. Published soon after the fiftieth anniversary of Fama’s appointment to the University of Chicago and his receipt of the Nobel Prize in Economics, The Fama Portfolio offers an authoritative compilation of Fama’s central papers. Many are classics, including his now-famous essay on efficient capital markets. Others, though less famous, are even better statements of the central ideas. Fama’s research considers key questions in finance, both as an academic field and an industry: How is information reflected in asset prices? What is the nature of risk that scares people away from larger returns? Does lots of buying and selling by active managers produce value for their clients? The Fama Portfolio provides for the first time a comprehensive collection of his work and includes introductions and commentary by the book’s editors, John H. Cochrane and Tobias Moskowitz, as well as by Fama’s colleagues, themselves top scholars and successful practitioners in finance. These essays emphasize how the ideas presented in Fama’s papers have influenced later thinking in financial economics, often for decades. “Fama’s ideas have influenced a generation of thinkers without most reading the original source material. This comprehensive collection of his work seeks to right that wrong.” —Bloomberg
