The Experts below are selected from a list of 318 Experts worldwide ranked by ideXlab platform
Stefan C. Norrbin - One of the best experts on this subject based on the ideXlab platform.
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The Foreign Exchange Market
International Money and Finance, 2013Co-Authors: Michael Melvin, Stefan C. NorrbinAbstract:Foreign Exchange trading refers to trading one country’s money for that of another country. The kind of money specifically traded takes the form of bank deposits or bank transfers of deposits denominated in Foreign currency. The Foreign Exchange market typically refers to large commercial banks in financial centers, such as New York or London, that trade Foreign-currency-denominated deposits with each other. This chapter provides a big picture of Foreign Exchange trading and particularly covers the details of the “spot market,” which is the buying and selling of Foreign Exchange to be delivered on the spot as opposed to paying at some future date. Major issues discussed are trading volume, geographic trading patterns, spot Exchange rates, currency arbitrage, and short- and long-term Foreign Exchange rate movements. Specific examples illustrate the discussions of broad concepts. Two appendices further elaborate on Exchange rate indexes and the top Foreign Exchange dealers.
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Foreign Exchange Risk and Forecasting
International Money and Finance, 2013Co-Authors: Michael Melvin, Stefan C. NorrbinAbstract:This chapter considers the issue of Foreign Exchange risk, which is the presence of risk that arises from uncertainty regarding the future Exchange rate; this uncertainty makes forecasting necessary. If future Exchange rates were known with certainty, there would be no Foreign Exchange risk. The various types of Foreign Exchange risk are explored by working through a real-world example. The effects of Foreign Exchange risk on the determination of forward Exchange rates are then explored, clarifying the terms risk and risk aversion . Market efficiency is defined for the Foreign Exchange market, meaning that spot and forward Exchange rates quickly adjust to any new information. Since future Exchange rates are uncertain, forecasts must be made; the authors conclude the chapter with a worked-through forecasting example.
Gregory W Brown - One of the best experts on this subject based on the ideXlab platform.
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managing Foreign Exchange risk with derivatives
Journal of Financial Economics, 2001Co-Authors: Gregory W BrownAbstract:Abstract This study investigates the Foreign Exchange risk management program of HDG Inc. (pseudonym), a US-based manufacturer of durable equipment. Precise examination of factors affecting why and how the firm manages its Foreign Exchange exposure are explored through the use of internal firm documents, discussions with managers, and data on3,110 Foreign-Exchange derivative transactions. Informational asymmetries, facilitation of internal contracting, and competitive pricing concerns appear to motivate why the firm hedges. How HDG hedges depends on accounting treatment, derivative market liquidity, Exchange rate volatility, exposure volatility, and recent hedging outcomes.
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managing Foreign Exchange risk with derivatives
2000Co-Authors: Gregory W BrownAbstract:This study investigates the Foreign Exchange risk management program of HDG Inc. (pseudonym), an industry leading manufacturer of durable equipment with sales in more than 50 countries. The analysis relies primarily on a three-month field study in the treasury of HDG. Precise examination of factors affecting why and how the firm manages its Foreign Exchange exposure are explored through the use of internal firm documents, discussions with managers, and data on 3110 Foreign-Exchange derivative transactions over a three and a half year period. Results indicate that several commonly cited reasons for corporate hedging are probably not the primary motivation for why HDG undertakes a risk management program. Instead, informational asymmetries, facilitation of internal contracting, and competitive pricing concerns seem to motivate hedging. How HDG hedges depends on accounting treatment, derivative market liquidity, Foreign Exchange volatility, exposure volatility, technical factors, and recent hedging outcomes.
Michael Melvin - One of the best experts on this subject based on the ideXlab platform.
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The Foreign Exchange Market
International Money and Finance, 2013Co-Authors: Michael Melvin, Stefan C. NorrbinAbstract:Foreign Exchange trading refers to trading one country’s money for that of another country. The kind of money specifically traded takes the form of bank deposits or bank transfers of deposits denominated in Foreign currency. The Foreign Exchange market typically refers to large commercial banks in financial centers, such as New York or London, that trade Foreign-currency-denominated deposits with each other. This chapter provides a big picture of Foreign Exchange trading and particularly covers the details of the “spot market,” which is the buying and selling of Foreign Exchange to be delivered on the spot as opposed to paying at some future date. Major issues discussed are trading volume, geographic trading patterns, spot Exchange rates, currency arbitrage, and short- and long-term Foreign Exchange rate movements. Specific examples illustrate the discussions of broad concepts. Two appendices further elaborate on Exchange rate indexes and the top Foreign Exchange dealers.
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Foreign Exchange Risk and Forecasting
International Money and Finance, 2013Co-Authors: Michael Melvin, Stefan C. NorrbinAbstract:This chapter considers the issue of Foreign Exchange risk, which is the presence of risk that arises from uncertainty regarding the future Exchange rate; this uncertainty makes forecasting necessary. If future Exchange rates were known with certainty, there would be no Foreign Exchange risk. The various types of Foreign Exchange risk are explored by working through a real-world example. The effects of Foreign Exchange risk on the determination of forward Exchange rates are then explored, clarifying the terms risk and risk aversion . Market efficiency is defined for the Foreign Exchange market, meaning that spot and forward Exchange rates quickly adjust to any new information. Since future Exchange rates are uncertain, forecasts must be made; the authors conclude the chapter with a worked-through forecasting example.
Timo Korkeamäki - One of the best experts on this subject based on the ideXlab platform.
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Institutional Investors and Foreign Exchange Risk
Quarterly Journal of Finance, 2015Co-Authors: Timo KorkeamäkiAbstract:We study institutional appetite for stocks with FX exposure, and find variation among institution types. Institutions that are by their nature more likely to engage in active management of Foreign Exchange risk in their portfolio, namely mutual funds and hedge funds seek stocks with Foreign Exchange exposure. Institutions that are constrained by regulation tend to avoid Foreign Exchange exposure.
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Institutional Investors and Foreign Exchange Risk
SSRN Electronic Journal, 2011Co-Authors: Timo KorkeamäkiAbstract:Financial institutions differ from individual investors both in their analytical ability and in their level of diversification. Their access to derivative markets is also superior compared to that enjoyed by individual investors. All these factors make institutional investors more capable of homemade hedging, and thus lead to an expectation that institutions are drawn to firms with higher Foreign Exchange risk. We observe institutional appetite for FX exposure and find variation among institution types. Institutions that are by their nature more likely to actively manage Foreign Exchange risk in their portfolio, namely mutual funds and hedge funds, follow our prediction and seek Foreign Exchange risk. Institutions that are constrained by regulation tend to avoid Foreign Exchange risk.
John Sorros - One of the best experts on this subject based on the ideXlab platform.
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Asset pricing and Foreign Exchange risk
Research in International Business and Finance, 2011Co-Authors: Nicholas Apergis, Panagiotis G. Artikis, John SorrosAbstract:Abstract According to the International Capital Asset Pricing Model (ICAPM), the covariance of assets with Foreign Exchange currency returns should be a risk factor that must be priced when the purchasing power parity is violated. The goal of this study is to re-examine the relationship between stock returns and Foreign Exchange risk. The novelties of this work are: (a) a data set that makes use of daily observations for the measurement of the Foreign Exchange exposure and volatility of the sample firms and (b) data from a Eurozone country. The methodology we make use in reference to the estimation of the sensitivity of each stock to Exchange rate movements is that it allows regressing stock returns against factors controlling for market risk, size, value, momentum, Foreign Exchange exposure and Foreign Exchange volatility. Stocks are then classified according to their Foreign Exchange sensitivity portfolios and the return of a hedge (zero-investment) portfolio is calculated. Next, the abnormal returns of the hedge portfolio are regressed against the return of the factors. Finally, we construct a Foreign Exchange risk factor in such manner as to obtain a monotonic relation between Foreign Exchange risk and expected returns. The empirical findings show that the Foreign Exchange risk is priced in the cross section of the German stock returns over the period 2000–2008. Furthermore, they show that the relationship between returns and Foreign Exchange sensitivity is nonlinear, but it takes an inverse U-shape and that Foreign Exchange sensitivity is larger for small size firms and value stocks.
