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  • February 2010
  • Article

Global Currency Hedging

By: John Y. Campbell, Karine Serfaty-de Medeiros and Luis M. Viceira
Over the period 1975 to 2005, the US dollar (particularly in relation to the Canadian dollar) and the euro and Swiss franc (particularly in the second half of the period) have moved against world equity markets. Thus these currencies should be attractive to... View Details
Keywords: Currency; Equity; Financial Markets; International Finance; Investment Return; Globalized Markets and Industries; Risk Management
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  • 06 Feb 2007
  • First Look

First Look: February 6, 2007

interest rates may change over time. This view creates a wedge between the short-term and long-term risk properties of asset returns and implies that target allocations may vary with investment horizon and over time. One implication of... View Details
Keywords: Martha Lagace
  • 2024
  • Working Paper

How Do Global Portfolio Investors Hedge Currency Risk?

By: Robin Greenwood and Alex Cheema-Fox
We use monthly portfolio data from one of the world’s largest custodian banks, with over $40 trillion assets under custody, to study how global portfolio investors hedge foreign exchange risk in their equity and fixed income portfolios over the past 25 years. The data... View Details
Keywords: Investment Portfolio; Investment Funds; Currency; Risk and Uncertainty
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  • 21 Dec 2009
  • Research & Ideas

Good Banks, Bad Banks, and Government’s Role as Fixer

did in 2006 was to boost competition. We now have nine approved rating agencies instead of three. However, if you are a bond issuer and you don't like what one rating agency says, you can choose another. So now, you have tripled the... View Details
Keywords: by Roger Thompson; Banking; Financial Services
  • 21 Nov 2014
  • Working Paper Summaries

The Decoupling Effect of Digital Disruptors

Keywords: by Thales S. Teixeira & Peter Jamieson
  • 20 Jan 2009
  • Research & Ideas

Risky Business with Structured Finance

at Princeton University, the paper analyzes the difficulties of rating structured finance assets and the perils of relying on ratings to determine prices. "We began studying the corporate bond CDO market roughly three years ago and... View Details
Keywords: by Julia Hanna; Banking; Financial Services
  • 22 Aug 2024
  • Research & Ideas

Reading the Financial Crisis Warning Signs: Credit Markets and the 'Red-Zone'

credit spreads are tight. The high-yield spread is the spread between the yields [the return an investor expects to receive annually until a bond matures] on a high-yield bond relative to a corresponding... View Details
Keywords: by Rachel Layne; Banking
  • 12 Feb 2008
  • First Look

First Look: February 12, 2007

firms. They also affect trading signal classifications, back-testing inferences, track records of individual analysts, and models of analysts' career outcomes in the three years following the changes. Long-Run Stockholder Consumption Risk... View Details
Keywords: Martha Lagace

    Luis M. Viceira

    Luis M. Viceira is the George E. Bates Professor in the Finance Unit  and a Research Associate at the National Bureau of Economic Research. His research, course development, and teaching focus on the areas of investment management... View Details

    Keywords: banking; education industry; financial services; nonprofit industry; retail financial services
    • 31 Aug 2009
    • Research & Ideas

    Why Competition May Not Improve Credit Rating Agencies

    reserves when investing in bonds of lower ratings. Ratings are also used in private contracts, for example to define the investment objectives of bond mutual funds. Ratings are a concise and well-understood... View Details
    Keywords: by Martha Lagace; Financial Services
    • 29 Sep 2009
    • First Look

    First Look: September 29

    http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1471435 Systemic Risk and the Refinancing Ratchet Effect Authors:Amir E. Khandani, Andrew W. Lo, and Robert C. Merton Abstract The confluence of three trends in the U.S. residential... View Details
    Keywords: Martha Lagace
    • January 2008
    • Background Note

    Equity Derivatives

    By: Joshua Coval and Erik Stafford
    The goal of these simulations is to understand the dynamic replication technique behind the Black-Scholes/Merton options model. The simulations focus on a single stock and a risk-free discount bond, which are used to replicate a contingent payoff. The underlying stock... View Details
    Keywords: Equity; Bonds; Stocks; Price; Risk Management
    Related
    • 14 Jun 2023
    • Research & Ideas

    Four Steps to Building the Psychological Safety That High-Performing Teams Need

    authors identify four research-backed steps that leaders can take to cultivate psychological safety among their employees. When properly understood, focusing on these four areas can boost team performance and work culture across industries, says Edmondson: Encourage... View Details
    Keywords: by Kara Baskin
    • 10 Feb 2009
    • First Look

    First Look: February 10, 2009

      Working PapersInflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds Authors:John Y. Campbell, Adi Sunderam, and Luis M. Viceira Abstract The covariance between U.S. Treasury View Details
    Keywords: Martha Lagace
    • 29 May 2018
    • First Look

    New Research and Ideas, May 29, 2018

    empirical investigation of the risk of globally diversified portfolios of stocks and bonds and of optimal intertemporal global portfolio choice for long horizon investors in the presence of permanent cash... View Details
    Keywords: Dina Gerdeman
    • 11 Dec 2018
    • First Look

    New Research and Ideas, December 11, 2018

    activity. When our measure is high, safe bonds fall in value and risky assets rally, forecasting a boom in investment. Risk appetite is closely linked to investors’ expectations of future View Details
    Keywords: Dina Gerdeman
    • Teaching Interest

    Overview

    Globalization and Emerging Markets (Elective Course) The world order has changed significantly in the last two decades. The influence of western-style varieties of capitalism has been challenged by new forms of capitalism that rely less on private enterprise and on the... View Details
    Keywords: Globalization; Strategy; Macroeconomics; State Capitalism; Political Economy; Emerging Markets; Multinational Firms and Management; Global Strategy; Economics; Energy Industry; Retail Industry; Mining Industry; Agriculture and Agribusiness Industry; Banking Industry; China; Africa; Dubai; Pakistan; India; Brazil; Russia; Cuba; Argentina
    • 13 Jan 2003
    • Research & Ideas

    The Subconscious Mind of the Consumer (And How To Reach It)

    communications device or even a personal care product invokes deep thoughts and feelings about social bonding can be very helpful to R&D experts. In the case of a communications device, this suggests that tactile experiences of social... View Details
    Keywords: by Manda Mahoney
    • Web

    Behavioral Finance & Financial Stability

    Financial Sector More Info The Impact of Pensions and Insurance on Global Yield Curves By: Robin Greenwood & Annette Vissing-Jorgensen JUN 2018 In this NBER working paper, researchers from the Behavioral Finance and Financial Stability Initiative evaluate the demand... View Details
    • Web

    Finance - Faculty & Research

    in MBS duration function as large-scale shocks to the quantity of interest rate risk that must be borne by professional bond investors. I develop a simple model in which the View Details