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Do Peso Problems Explain the Returns to the Carry Trade?
Burnside, A. Craig - 2010
We study the properties of the carry trade, a currency speculation strategy in which an investor borrows low-interest-rate currencies and lends high-interest-rate currencies. This strategy generates payoffs which are on average large and uncorrelated with traditional risk factors. We argue that...
Persistent link: https://www.econbiz.de/10012759296
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Customer Risk from Real-Time Retail Electricity Pricing : Bill Volatility and Hedgability
Borenstein, Severin - 2010
very simple hedging strategies can eliminate more than 80% of the bill volatility that would otherwise occur. Far from …
Persistent link: https://www.econbiz.de/10012760642
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Demand-Based Option Pricing
Garleanu, Nicolae - 2010
We model the demand-pressure effect on prices when options cannot be perfectly hedged. The model shows that demand pressure in one option contract increases its price by an amount proportional to the variance of the unhedgeable part of the option. Similarly, the demand pressure increases the...
Persistent link: https://www.econbiz.de/10012761687
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Is Cash Negative Debt? A Hedging Perspective on Corporate Financial Policies
Acharya, Viral V. - 2010
constrained firms will allocate excess cash flows into cash holdings if their hedging needs are high (i.e., if the correlation … reduce current debt if their hedging needs are low. The empirical examination of cash and debt policies of a large sample of … financially constrained firms with high hedging needs have a strong propensity to save cash out of cash flows, while showing no …
Persistent link: https://www.econbiz.de/10012762446
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Banks' Advantage in Hedging Liquidity Risk : Theory and Evidence from the Commercial Paper Market
Gatev, Evan G. - 2010
This paper argues that banks have a unique ability to hedge against market-wide liquidity shocks. Deposit inflows provide funding for loan demand shocks that follow declines in market liquidity. Consequently, one dimension of bank specialness' is that banks can insure firms against systematic...
Persistent link: https://www.econbiz.de/10012762778
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Hedging Sudden Stops and Precautionary Contractions
Caballero, Ricardo J. - 2010
question we address in the paper is how should a country react to these fluctuations. Depending on the hedging possibilities … the country faces, the options range from pure self-insurance to hedging the sudden stop jump itself. In between, there is …
Persistent link: https://www.econbiz.de/10012762811
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An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns
Getmansky Sherman, Mila - 2010
The returns to hedge funds and other alternative investments are often highly serially correlated in sharp contrast to the returns of more traditional investment vehicles such as long-only equity portfolios and mutual funds. In this paper, we explore several sources of such serial correlation...
Persistent link: https://www.econbiz.de/10012762841
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On the International Financial Architecture : Insuring Emerging Markets
Caballero, Ricardo J. - 2010
observation, this paper highlights some of the desirable features of insurance and hedging instruments against capital flow …
Persistent link: https://www.econbiz.de/10012762843
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Exchange Rate, Equity Prices and Capital Flows
Hau, Harald - 2010
incomplete forex risk trading. Incomplete hedging of forex risk, documented for U.S. global mutual funds, has three important …
Persistent link: https://www.econbiz.de/10012762881
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Investment, Consumption, and Hedging Under Incomplete Markets
Wang, Neng - 2014
Entrepreneurs often face undiversifiable idiosyncratic risks from their business investments. We extend the standard real options approach to an incomplete markets environment and analyze the joint decisions of business investments, consumption/savings, and portfolio selection. For a lump-sum...
Persistent link: https://www.econbiz.de/10012751873