Currency Hedging for International Portfolios

WPIEA2010151 Image
Price:  $18.00

Author/Editor: Jochen M. Schmittmann
Release Date: © June, 2010
ISBN : 978-1-45520-134-1
Stock #: WPIEA2010151
Stock Status: On back-order

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This paper examines the benefits from hedging the currency exposure of international investments in single- and multi-country equity and bond portfolios from the perspectives of German, Japanese, British and American investors. Over the period 1975 to 2009, hedging of currency risk substantially reduced the volatility of foreign investments at a quarterly investment horizon. Contrary to previous studies, the paper finds that at longer investment horizons of up to five years the case for hedging for risk reduction purposes remained strong.In addition to its impact on risk, hedging affected returns in economically meaningful magnitudes in some cases.


International capital markets , International financial system

More publications in this series: Working Papers

More publications by: Jochen M. Schmittmann