FORWARD EXCHANGE BIAS, HEDGING AND THE GAINS FROM INTERNATIONAL DIVERSIFICATION OF INVESTMENT PORTFOLIOS

被引：14
|
作者：
LEVY, H
LIM, KC
机构：
[1] UNIV FLORIDA,COLL BUSINESS,DEPT FINANCE,GAINESVILLE,FL 32611
[2] CITY POLYTECH HONG KONG,DEPT ECON & FINANCE,KOWLOON,HONG KONG
来源：
JOURNAL OF INTERNATIONAL MONEY AND FINANCE | 1994年 / 13卷 / 02期
关键词：
D O I：
10.1016/0261-5606(94)90013-2
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
The gains to the US investor from international diversification of investment portfolios are examined for portfolio strategies that hedge and strategies that do not hedge exchange rate risk via the interbank forward market. Using the Sharpe Performance Index and stochastic dominance as performance measures, almost all the unhedged strategies outperformed the hedged strategies for 1985-88; the opposite held for 1981-84. The results are explained by the biasedness of forward rates in predicting future spot rates.
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页码：159 / 170
页数：12
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