Forward exchange bias, hedging and the gains from international diversification of investment portfolios

Haim Levy; Kok Chew Lim

doi:10.1016/0261-5606(94)90013-2

Author(s)

Haim Levy
Kok Chew Lim

Related Research Unit(s)

Department of Economics and Finance

Detail(s)

Original language	English
Pages (from-to)	159-170
Journal / Publication	Journal of International Money and Finance
Volume	13
Issue number	2
Publication status	Published - Apr 1994

Link(s)

DOI	DOI https://doi.org/10.1016/0261-5606(94)90013-2 Final Published version
	Check@CityULib
Link to Scopus	https://www.scopus.com/record/display.uri?eid=2-s2.0-0001544624&origin=recordpage
Permanent Link	https://scholars.cityu.edu.hk/en/publications/publication(ac23252f-97a5-4143-8916-b0e807a6daa2).html

Abstract

The gains to the US investor from international diversification of investment portfolios are examined for portfolio strategies that hedge and strategies that do not hedge exchange rate risk via the interbank forward market. Using the Sharpe Performance Index and stochastic dominance as performance measures, almost all the unhedged strategies outperformed the hedged strategies for 1985-1988; the opposite held for 1981-1984. The results are explained by the biasedness of forward rates in predicting future spot rates. (JEL F30). © 1994.

Bibliographic Note

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Citation Format(s)

[ RIS ] [ BibTeX ]

Forward exchange bias, hedging and the gains from international diversification of investment portfolios. / Levy, Haim; Lim, Kok Chew.
In: Journal of International Money and Finance, Vol. 13, No. 2, 04.1994, p. 159-170.

Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

Levy, H & Lim, KC 1994, 'Forward exchange bias, hedging and the gains from international diversification of investment portfolios', Journal of International Money and Finance, vol. 13, no. 2, pp. 159-170. https://doi.org/10.1016/0261-5606(94)90013-2

Levy, H., & Lim, K. C. (1994). Forward exchange bias, hedging and the gains from international diversification of investment portfolios. Journal of International Money and Finance, 13(2), 159-170. https://doi.org/10.1016/0261-5606(94)90013-2

Levy H, Lim KC. Forward exchange bias, hedging and the gains from international diversification of investment portfolios. Journal of International Money and Finance. 1994 Apr;13(2):159-170. doi: 10.1016/0261-5606(94)90013-2

Levy, Haim ; Lim, Kok Chew. / Forward exchange bias, hedging and the gains from international diversification of investment portfolios. In: Journal of International Money and Finance. 1994 ; Vol. 13, No. 2. pp. 159-170.