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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

When carry goes bad : the magnitude, causes, and duration of currency carry unwinds

Melvin, Michael; Shand, Duncan - 2016

We analyze the worst currency carry loss episodes in recent decades, including causes, attribution by currency, timing …

Persistent link: https://www.econbiz.de/10011568722

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

Estimating Currency Exposure : Empirical Study on Stock Returns of Indian Software Firms

Modekurti, Kameshwar Rao V.S. - 2015

A low percentage of firms depicting exposure to foreign exchange rates is one of the seriously researched topic in the realm of Foreign Exchange Risk and its Management. Owing to its counter intuitive empirical results, it has also been referred to as Currency Exposure Puzzle. This paper, one of...

Persistent link: https://www.econbiz.de/10013031071

The impact of FX exposure on the firm's stock market return

Bondarenko, Mariia; Brůna, Karel - In: European financial and accounting journal : EFAJ 16 (2021) 1, pp. 45-70

It is generally acknowledged that one of the risks faced by any company is FX risk, especially when the business operates internationally. For individual companies, exposure to FX risk results in different financial implications, stressing such parameters as the industry affiliation and the...

Persistent link: https://www.econbiz.de/10012642502

Currency hedging behavior for stock returns uncertainty in Ghana

Bachori, Bartholomew Bilijo; Buabeng, Emmanuel; Sakyi, … - In: Applied economics 54 (2022) 48, pp. 5532-5548

Persistent link: https://www.econbiz.de/10013411231

Currency carry trades, risk management, and firm value : evidence from Korean banking industry

Kim, Sungjae Francis - In: Journal of international financial markets, … 88 (2023), pp. 1-18

Persistent link: https://www.econbiz.de/10014483174

Investor Attention to News on Financial Integration and Currency Returns

Filippou, Ilias; T. Nguyen, My; Taylor, Mark P. - 2023

In this paper, we examine the economic value of a text-based measure of financial integration. Our attention measure of financial integration is a strong positive predictor of currency excess returns. Specifically, the financial integration measure is positively priced in the cross-section of...

Persistent link: https://www.econbiz.de/10014254455

When to hedge downside risk?

Giannikos, Christos; Guirguis, Hany; Kakolyris, Andreas; … - In: Risks : open access journal 12 (2024) 2, pp. 1-20

Hedging downside risk before substantial price corrections is vital for risk management and long-only active equity …

Persistent link: https://www.econbiz.de/10014497324

Global portfolio network and currency risk premia

Boer, Jantke de - 2024

The position of countries in a network of external portfolio investments provides a novel macroeconomic characteristic to explain violations of uncovered interest rate parity. I derive a network centrality measure, where central countries are highly integrated with key suppliers of tradeable...

Persistent link: https://www.econbiz.de/10015211361