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- W2087783812 abstract "His article examines, for 21 developed countries, whether active currency hedging strategies can outperform currency benchmarks: 100% unhedged, 50%/50%, and 100% hedged. We consider four active currency strategies: 1) the “selective” strategy that consists in hedging when the forward rate is at a premium, 2) the “large premia” strategy that consists in hedging only when the premium is large, 3) the momentum strategy, and 4) the mean-reverting strategy. Results for the 1992–2004 period show that, overall, the selective strategy outperforms the other strategies at 12- and 1-month horizons. Results for sub-periods show that no strategy continuously dominates. <b>TOPICS:</b>Global, developed, currency" @default.
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- W2087783812 date "2007-11-30" @default.
- W2087783812 modified "2023-10-18" @default.
- W2087783812 title "Active Currency Hedging Strategies for Global Equity Portfolios" @default.
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- W2087783812 doi "https://doi.org/10.3905/joi.2007.698985" @default.
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