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Chari, V.V. - 2017

The financialization view is that increased trading in commodity futures markets is associated with increases in the growth rate and volatility of commodity spot prices. This view gained credence because in the 2000s trading volume increased sharply and many commodity prices rose and became more...

Persistent link: https://www.econbiz.de/10012453945

The Rest of the World's Dollar-Weighted Return on U.S. Treasurys

Jiang, Zhengyang; Krishnamurthy, Arvind; Lustig, Hanno - National Bureau of Economic Research - 2022

Since 1980, foreign investors have timed their purchases and sales of U.S. Treasurys to yield particularly low returns. Their annual dollar-weighted returns, measured by IRRs, are around 3% lower than a buy-and-hold strategy over the same horizon. In comparison, the IRRs achieved by domestic...

Persistent link: https://www.econbiz.de/10013210117

Global Currency Hedging

Campbell, John Y. - 2007

franc (particularly in the second half of the period) have moved against world equity markets. Thus these currencies should …

Persistent link: https://www.econbiz.de/10012465566

Dollar Asset Holdings and Hedging Around the Globe

Du, Wenxin; Huber, Amy W. - National Bureau of Economic Research - 2024

comprehensive estimate of foreign investors' U.S. dollar (USD) security holdings and currency hedging practices. We document four … raised their USD hedge ratio by an average of 15 percentage points, despite higher hedging costs implied by large and … persistent deviations from covered interest-rate parity. The total FX hedging demand from these sector reached $2 trillion in …

Persistent link: https://www.econbiz.de/10014544731

Currency Hedging : Managing Cash Flow Exposure

Alfaro, Laura; Calani, Mauricio; Varela, Liliana - National Bureau of Economic Research - 2021

Foreign currency derivative markets are among the largest in the world, yet their role in emerging markets is … relatively understudied. We study firms' currency risk exposure and their hedging choices by employing a unique dataset covering …, international trade, trade credits and foreign currency debt. We uncover four novel facts: (i) natural hedging of currency risk is …

Persistent link: https://www.econbiz.de/10012585394

Venture capital and other private equity : a survey

Metrick, Andrew; Yasuda, Ayako - 2010

"We review the theory and evidence on venture capital (VC) and other private equity: why professional private equity exists, what private equity managers do with their portfolio companies, what returns they earn, who earns more and why, what determines the design of contracts signed between (i)...

Persistent link: https://www.econbiz.de/10008806638

Country Portfolios

Kraay, Aart - 2000

How do countries hold their financial wealth? We construct a new database of countries' claims on capital located at home and abroad, and international borrowing and lending, covering 68 countries from 1966 to 1997. We find that a small amount of capital flows from rich countries to poor...

Persistent link: https://www.econbiz.de/10012470955

International Portfolio Diversification : Short-Term Financial Assets and Gold

de Macedo, Jorge Braga - 1982

Using a continuous-time finance-theoretic framework, this paper presents the optimal portfolio rule of an international investor who consumes N national composite goods and who holds N domestic-currency-denominated assets with known nominal interest rates in an environment where prices of goods,...

Persistent link: https://www.econbiz.de/10012478145

Venture Capital and Other Private Equity : A Survey

Metrick, Andrew - 2010

We review the theory and evidence on venture capital (VC) and other private equity: why professional private equity exists, what private equity managers do with their portfolio companies, what returns they earn, who earns more and why, what determines the design of contracts signed between (i)...

Persistent link: https://www.econbiz.de/10012462004

Portfolio Allocation for Public Pension Funds

Pennacchi, George - 2010

This paper presents a dynamic model of a public pension fund's choice of portfolio risk. Optimal portfolio allocations are derived when pension fund management maximize the utility of wealth of a representative taxpayer or when pension fund management maximize their own utility of compensation....

Persistent link: https://www.econbiz.de/10012462201

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