Internationally Diversified Bond Portfolios
Author | : Richard M. Levich |
Publisher | : |
Total Pages | : 48 |
Release | : 1993 |
ISBN-10 | : UCSD:31822015496425 |
ISBN-13 | : |
Rating | : 4/5 ( Downloads) |
Download or read book Internationally Diversified Bond Portfolios written by Richard M. Levich and published by . This book was released on 1993 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: A new statistical procedure is used to test for weak form efficiency in the foreign exchange futures markets. Using daily currency futures prices for the 1976-1990 period, we conclude that successive exchange rate changes have not been independent We examine the implications of this finding for two groups of investors: (1) return seeking investors considering foreign exchange as a separate asset class; (2) international portfolio investors deciding whether or not to currency hedge the foreign exchange rate exposures embedded in their non-dollar investments. Using the currency futures data and monthly data on 10-year dollar and non-dollar bonds, we conclude that active currency risk management, based on a simple application of technical trading signals, can substantially improve the risk-return opportunities for both groups of investors in comparison to passive currency strategies.