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Value at Risk & Transaction Exposure : An Inter-Temporal Lexicographic Permutation of a Six-Currency Portfolio
Khazeh, Kashi - 2011
Combinations of a six-Currency portfolio are studied for a two-year period to access the reliability of “value at risk” approach to measuring the transaction exposure. The values at risk for each currency and for every additional currency portfolio are estimated for each year. The outcomes...
Persistent link: https://www.econbiz.de/10013120150
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Regime Uncertainty and Optimal Investment Timing
Nishide, Katsumasa; Nomi, Ernesto Kazuhiro - 2009
effects of regime uncertainty on a firm's strategic investment decision, taking into consideration the remaining time to the …
Persistent link: https://www.econbiz.de/10014209938
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Why do banks go abroad? : Evidence from German data
Buch, Claudia M. - 1999
Persistent link: https://www.econbiz.de/10013261058
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FDI and FPI : strategic complements?
Pfeffer, Barbara - 2008
We show in a dynamic investment setting whether firms choose FDI or international portfolio investment (FPI) in the … presence of stochastic productivity taking into account differences in flexibility of both investments. Isolated FPI and FDI … investments are compared to combined FPI and FDI investments. FDI requires higher investment specific costs than FPI. Thus, it is …
Persistent link: https://www.econbiz.de/10003865729
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Why do banks go abroad? : evidence from German data
Buch, Claudia M. - 1999
the abolition of capital controls seem to have exerted a greater influence on foreign assets than on FDI of German banks …
Persistent link: https://www.econbiz.de/10011475868
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Do International Portfolio Investors Follow Firms' Foreign Investment Decisions?
De Santis, Roberto A.; Ehling, Paul - 2021
We analyze the interlinkages between foreign direct investment (FDI) and foreign portfolio investment (FPI) between … of FDI. Second, we show that foreign and the home stock market returns explain the variation of the growth rate of the … other words, FDI transactions measured by fitted growth rates of the stock of FDI help explaining current growth rates of …
Persistent link: https://www.econbiz.de/10013316839
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Ambiguity and the home currency bias
Ulrych, Urban; Vasiljević, Nikola - 2020 - This Version: August 2020
currency bias. The investor's dislike for model uncertainty induces a disproportionately high currency hedging demand. The …
Persistent link: https://www.econbiz.de/10012271218
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The Investment Manifesto
Lin, Xiaoji - 2012
A deep-ingrained doctrine in asset pricing says that if an empirical characteristic-return relation is consistent with investor “rationality,” the relation must be “explained” by a risk (factor) model. The investment approach questions the doctrine. Factors formed on characteristics are...
Persistent link: https://www.econbiz.de/10013096092
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The Investment Manifesto
Lin, Xiaoji - 2012
A deep-ingrained doctrine in asset pricing says that if an empirical characteristic-return relation is consistent with investor “rationality,” the relation must be “explained” by a risk (factor) model. The investment approach questions the doctrine. Factors formed on characteristics are...
Persistent link: https://www.econbiz.de/10013110170
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Production and Hedging with Optimism and Pessimism under Ambiguity
Lien, Donald D. - 2017
This paper analyzes the optimal production and hedging decisions of a competitive firm holding optimism and pessimism under price ambiguity. We show that the separation theorem remains intact as the firm's optimal output level depends neither on the output price distribution nor on the firm's...
Persistent link: https://www.econbiz.de/10012972918