کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
964657 1479169 2014 14 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Uncovered Equity Parity and rebalancing in international portfolios
ترجمه فارسی عنوان
تساوی حقوق بازپرداخت و متعادل سازی در اوراق بهادار بین المللی
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی


• We examine U.S. investors' portfolio reallocations and returns.
• Portfolio shifts are related to past returns in the underlying equity markets.
• But U.S. investors rebalance away from equity markets that recently performed well.
• And U.S. investors move into equity markets market prior to strong performance.
• Both suggest tactical reallocations to increase returns rather than reduce risk.

Portfolio rebalancing is a key driver of the Uncovered Equity Parity (UEP) condition. According to UEP, when foreign equity holdings outperform domestic holdings, domestic investors are exposed to higher exchange rate exposure and hence repatriate some of the foreign equity to decrease their exchange rate risk. By doing so, foreign currency is sold, leading to foreign currency depreciation. We examine the relationship between U.S. investors' portfolio reallocations and returns and find some evidence consistent with UEP: Portfolio shifts are related to past returns in the underlying equity markets. But we argue that a motive other than reducing currency risk exposure is likely behind this rebalancing. In particular, U.S. investors rebalance away from equity markets that recently performed well and move into equity markets just prior to relatively strong performance, suggesting tactical reallocations to increase returns rather than reduce risk.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Money and Finance - Volume 47, October 2014, Pages 86–99
نویسندگان
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