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Implicit currency carry trades of companies

Entrop, Oliver; Fuchs, Fabian U. - 2020

The currency carry trade (CCT) strategy - borrowing in low-interest-rate currencies and investing in high-interest-rate currencies - has been found to generate excess returns that cannot be explained by common risk factors. We argue that companies implicitly execute carry trades, when they have...

Persistent link: https://www.econbiz.de/10012158939

Analyst Disagreement and Aggregate Volatility Risk

Barinov, Alexander - 2015

The paper explains why firms with high dispersion of analyst forecasts earn low future returns. These firms beat the CAPM in periods of increasing aggregate volatility and thereby provide a hedge against aggregate volatility risk. The aggregate volatility risk factor can explain the abnormal...

Persistent link: https://www.econbiz.de/10013039417

Currency Hedging Strategies Using Dynamic Multivariate GARCH

Chang, Chia-Lin - 2012

This paper examines the effectiveness of using futures contracts as hedging instruments of: (1) alternative models of …, Euro, British pound and Japanese yen, against the American dollar, are used to analyze hedge ratios and hedging … optimal portfolio weights and optimal hedge ratios to identify appropriate currency hedging strategies. The hedging …

Persistent link: https://www.econbiz.de/10013113663

Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH

Tansuchat, Roengchai - 2010

dollar long in crude oil spot. Finally, the hedging effectiveness indicates that DCC (BEKK) is the best (worst) model for OHR …

Persistent link: https://www.econbiz.de/10013149486

A corporate financing-based asset pricing model

Steri, Roberto - 2018

I show that an asset pricing model for the equity claims of a value-maximizing firm can be constructed from its optimal financial contracting behavior. I study a dynamic contracting model in which firms trade off the costs and benefits of a given promise to pay external lenders in a specific...

Persistent link: https://www.econbiz.de/10011900221

Corporate Hedging and the Variance of Stock Returns

Biguri, Kizkitza - 2019

By means of a difference-in-differences approach (sigma-DID), we investigate the effect that hedging has on corporate … risk. Examining the relation between hedging and the idiosyncratic variance of stock returns, we show that when new …

Persistent link: https://www.econbiz.de/10012899849

The effectiveness of hedge fund investment strategies under various market conditions

Falkowski, Michał; Sierpińska-Sawicz, Agata; … - In: Contemporary economics 14 (2020) 2, pp. 127-143

The main purpose of the article was to analyze the effectiveness of the basic investment strategies used by hedge funds in the long term (years 1994-2015) and during the global financial crisis (years 2007-2009). Using information from commercial databases we attempted to verify the hypothesis...

Persistent link: https://www.econbiz.de/10012237267

Corporate Hedging, Investment, and Higher Moments of Stock Returns

Doshi, Hitesh; Kumar, Praveen; Zurita, Virgilio - 2021

that cash-flow hedging and capital investment by firms affects their future stock return distribution. Hedging by firms … investment counteracts these effects. Using hand-collected hedging data from energy-related firms, we find empirical results … consistent with the theoretical predictions. The pull-to-normality effect of hedging is stronger among firms with small size …

Persistent link: https://www.econbiz.de/10013312219

On the irrelevance of the leverage effect

Nippel, Peter - 2001

Persistent link: https://www.econbiz.de/10001628900

The Diversification Discount and Takeovers : Some Australian Evidence

Nankervis, Michael; Singh, Harminder - 2011

This paper examines the existence of a diversification discount in the Australian takeover market. A sample of 446 Australian publicly-listed firms involved in the market for corporate control was observed between 2000 and 2007. We examine two pre-announcement and four post-announcement periods,...

Persistent link: https://www.econbiz.de/10014176993