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Implicit currency carry trades of companies
Entrop, Oliver; Fuchs, Fabian U. - 2020
The currency carry trade (CCT) strategy - borrowing in low-interest-rate currencies and investing in high-interest-rate currencies - has been found to generate excess returns that cannot be explained by common risk factors. We argue that companies implicitly execute carry trades, when they have...
Persistent link: https://www.econbiz.de/10012158939
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Currency Hedging Strategies Using Dynamic Multivariate GARCH
Chang, Chia-Lin - 2012
This paper examines the effectiveness of using futures contracts as hedging instruments of: (1) alternative models of …, Euro, British pound and Japanese yen, against the American dollar, are used to analyze hedge ratios and hedging … optimal portfolio weights and optimal hedge ratios to identify appropriate currency hedging strategies. The hedging …
Persistent link: https://www.econbiz.de/10013113663
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Corporate Hedging and the Variance of Stock Returns
Biguri, Kizkitza - 2019
By means of a difference-in-differences approach (sigma-DID), we investigate the effect that hedging has on corporate … risk. Examining the relation between hedging and the idiosyncratic variance of stock returns, we show that when new …
Persistent link: https://www.econbiz.de/10012899849
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Do Hedge Fund Fire Sales Disrupt the Stock Market?
Boyson, Nicole M. - 2013
Using a comprehensive dataset of hedge fund 13F filings, we analyze hedge fund trading from 1998-2010 to determine if investor redemptions cause fire sales and stock market disruptions. We find evidence of hedge fund fire sales in the two quarters with the worst stock market performance. During...
Persistent link: https://www.econbiz.de/10013079674
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Corporate Hedging, Investment, and Higher Moments of Stock Returns
Doshi, Hitesh; Kumar, Praveen; Zurita, Virgilio - 2021
that cash-flow hedging and capital investment by firms affects their future stock return distribution. Hedging by firms … investment counteracts these effects. Using hand-collected hedging data from energy-related firms, we find empirical results … consistent with the theoretical predictions. The pull-to-normality effect of hedging is stronger among firms with small size …
Persistent link: https://www.econbiz.de/10013312219
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A corporate financing-based asset pricing model
Steri, Roberto - 2018
I show that an asset pricing model for the equity claims of a value-maximizing firm can be constructed from its optimal financial contracting behavior. I study a dynamic contracting model in which firms trade off the costs and benefits of a given promise to pay external lenders in a specific...
Persistent link: https://www.econbiz.de/10011900221
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Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH
Tansuchat, Roengchai - 2010
dollar long in crude oil spot. Finally, the hedging effectiveness indicates that DCC (BEKK) is the best (worst) model for OHR …
Persistent link: https://www.econbiz.de/10013149486
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Excess returns and the distinguished player paradox
Blonski, Matthias (contributor);  … - 2008
Suppose the value of a firm is endogenously determined by a manager's costly effort. We call this manager a distinguished player if he also can trade shares of the firm on a market. Arbitrage-free asset pricing theory suggests that the equilibrium market price reflects the value increasing...
Persistent link: https://www.econbiz.de/10003776197
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Bank loan announcements and borrower stock returns : does bank origin matter?
Ongena, Steven; Roscovan, Viorel - 2009
Banks play a special role as providers of informative signals about the quality and value of their borrowers. Such signals, however, may have a quality of their own as the banks' selection and monitoring abilities may differ. Using an event study methodology, we study the importance of the...
Persistent link: https://www.econbiz.de/10003832012
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The factor-spline-GARCH model for high and low frequency correlations
Rangel, Jose Gonzalo; Engle, Robert F. - 2009
We propose a new approach to model high and low frequency components of equity correlations. Our framework combines a factor asset pricing structure with other specifications capturing dynamic properties of volatilities and covariances between a single common factor and idiosyncratic returns....
Persistent link: https://www.econbiz.de/10003821063