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- W1963480207 abstract "Purpose – The purpose of this article is to investigate the return associated with a Canadian dollar (C$) investment in the USA under passive, random walk, value at risk, and Sharpe ratio strategies.Design/methodology/approach – To comply with the purpose, this paper used a GARCH model, and used, as basic data, daily C$ exchange rates and weekly US and Canadian interest rates on 90‐day CDs, from January 2 to November 26, 2004.Findings – The empirical results suggest that currency returns are positively correlated to risk; and that the return provided by the random walk strategy beats the other strategies considered in this paper.Practical implications – The findings suggest that currency investment is similar to other forms of investment, since it shows a positive relationship between risk and return. It also supports the long‐standing belief that sophisticated strategies do not beat simple‐minded approaches such as a random walk strategy.Originality/value – This paper uses a utility function to investiga..." @default.
- W1963480207 created "2016-06-24" @default.
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- W1963480207 date "2006-01-01" @default.
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- W1963480207 title "Currency risk management: simulating the Canadian dollar" @default.
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- W1963480207 doi "https://doi.org/10.1108/17439130610646171" @default.
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