New PDF release: Predictable Time-Varying Components of International Asset

By Bruno H. Solnik

ISBN-10: 0943205204

ISBN-13: 9780943205205

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And Kenneth R. French. 1989. " Journal of Financial Economics (November):23-50. "Journal ofFinancia1 Economics (October):3-26. 1988b. " Journal of Political Economy (April):246-73. Ferson, Wayne E. 1989. " Journal of Finance @ecember):1191-218. , and Campbell R. Harvey. 1991. " Journal of Political Economy (April):385-415. , G. William Schwert, and Robert F. Starnbaugh. 1987. "Journal of Financial Economics (September):3-29. , and Tom Smith. 1992. " Working paper, University of Pennsylvania.

Consider three types of global dynamic strategies. The first strategy, which is similar to the strategies discussed previously, allows only fully hedged investments. The second strategy allows only unhedged strategies. In other words, one can invest across the world, but one cannot hedge the currency risk; the currency and market choices are thus necessarily linked. The third strategy allows separation of the market and currency decisions; partial currency hedging is allowed. S. market index. S.

The interest rate data come from Morgan Guaranty and Lombard Odier. National short-term interest rates are available for the 196071 period, and some summary statistics for the whole 1960-91 period are reported, but the comparability of data is questionable for the 1960s. Exchange Rates Month-end spot exchange rates come from the International Monetary Fund. Forward exchange rates are calculated by applying interest rate parity, and the relevant interest rate differential is "added" to the spot exchange rate.

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Predictable Time-Varying Components of International Asset Returns by Bruno H. Solnik


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