a simple extension of the long-run risk model … risks. Portfolios hedging macro uncertainty have historically earned zero or even significantly positive returns, while …

comparable to that of returns in stock markets. Evidence is shown that there may be only minimal possibility of cross hedging … examined. Such markets, by allowing hedging of these aggregate income risks, might make for dramatically more effective … international macroeconomic risk sharing than is possible today. Retail institutions are described that might develop around such …

average risk tolerance across investors. The same constant applies to every real foreign investment held by every investor … market risk premia, an average of world market volatilities, and an average of exchange rate volatilities, where we take the … exchange risk approaches zero, the constant will be equal to one minus the ratio of the variance of the world market return to …

the unpriced risk. We apply our methodology to hedge out unpriced risk in the Fama and French (2015) five-factors. We find …

illiquidity of the underlying market, rather than from inventory risk or informed trading in the option market itself. We find …

domestic and foreign bank creditors. Second, banks do not hedge their exchange rate risk. Third, there is a lending boom before … risk. When the fixed exchange rate is abandoned in favor of a crawling peg, banks go bankrupt, the domestic interest rate …

We study the implications of hedging for firm financing and investment. We do so using an extensive, hand …-collected dataset on corporate hedging activities. Hedging can lower the odds of negative firm realizations, reducing the expected costs … channels (cost of borrowing and investment restrictions) through which hedging affects corporate outcomes. The analysis we …

This paper uses a dynamic optimization model to estimate the welfare gains of hedging against commodity price risk for … commodity-exporting countries. We show that the introduction of hedging instruments such as futures and options enhances …

Liquidity risk in banking has been attributed to transactions deposits and their potential to spark runs or panics. We … show instead that transactions deposits help banks hedge liquidity risk from unused loan commitments. Bank stock …. This deposit-lending risk management synergy becomes more powerful during periods of tight liquidity, when nervous …