This paper examines the performance of Institutions, Foreigners and Individuals in Emerging Markets. We find that Local institutions produce better outcomes than both foreigners and local individuals on all performance measures. Comparing local individuals with foreigners we find that local...

We show that internationally diversified portfolios carry sizeable political risk premia. We use a tail-risk portfolio selection model to obtain political efficient frontiers from skewed return distributions and manage political risk, and design an inference test to draw conclusions. We find...

Currency risk is generally considered a key difference between domestic and foreign investors. In addition to conversion risk, investors face indirect currency risk due to assets' correlation with the exchange rate. Currency risk therefore does not only lead to cross country differences but to...

Exchange rate exposure of firms diminishes when imported intermediates and exports are denominated in currencies that move together. Appreciations of the domestic currency, raising foreign currency export prices, then also reduce marginal costs, allowing firms to counter the increase in foreign...

We consider an exporting firm facing FX risk. We show that FX options are not used for hedging, if there is no ex-post production flexibility. Hence, in the standard setting of having no ex-post optionality, hedging with forwards is the best choice.The value of FX options for hedging arises as...

Unlike prior studies on foreign exchange risk that have focused on multinational companies, this paper documents that domestic companies face significant foreign exchange exposure. Indeed, we document that on average domestic company foreign exchange exposure is not significantly different from...

We investigate the role of currency exposure through multinational firms' operations as a source of mispricing in equity markets. Using information on firms' distribution of sales across geographic segments to construct firm-specific currency baskets, we find a strong correlation between firms'...

This paper empirically examines the firm-specific exchange rate exposure of Japanese multinational corporations (MNC). Although financial theory strongly supports that exchange rate movement should affect the value of a multinational corporation, most previous studies failed to document...