A multinational examination of international equity and bond investment with currency hedging
Article Abstract:
Factors involved in returns on foreign investments in stocks and bonds include both the securities' domestic performance and the foreign currency exchange behavior. An examination of the risk potential of futures transactions requires the two factors to be considered separately, though the values of securities and currencies are interrelated in a complex way. Differences due to alternative numeraires and data on the stability of returns and hedging effectiveness are examined, using investment information for six countries for the period August 1975-December 1988. Results indicate international financial investment risk can be significantly reduced by hedging. The degree of currency risk is related to the currencies involved, the financial instrument, and the investor's perspective.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 1993
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The mispricing of U.S. Treasury callable bonds
Article Abstract:
Callable Treasury bonds have irregular pricing characteristics. Analysis of data on callable bonds traded from July 1989 to June 1993 showed that negative implied option values are present only in bonds with lower coupon rates. These bonds are generally overpriced to the extent that negative prices are implied for their call and/or put options.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 1995
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