To hedge or not to hedge: the performance of simple strategies for hedging foreign exchange risk

@inproceedings{Morey2001ToHO,
  title={To hedge or not to hedge: the performance of simple strategies for hedging foreign exchange risk},
  author={Matthew R. Morey and Marc W. Simpson},
  year={2001}
}
Abstract This paper investigates the efficacy of simple strategies for hedging foreign exchange risk. The strategies are: to always hedge, to never hedge, to hedge when the forward rate is at a premium, to hedge only when the premium is large, and a strategy based upon relative purchasing power parity. We find a strategy which hedges based upon large premia generally outperforms the other strategies for the period 1989–1998. Moreover, we document that in every sample and time horizon period, an… CONTINUE READING

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The performance of conditional hedging RMB for international portfolios

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