The relationship between exchange rate exposure, currency risk management and performance of international equity funds

Karen L. Benson, Robert W. Faff*

*Corresponding author for this work

Research output: Contribution to journalArticleResearchpeer-review

5 Citations (Scopus)

Abstract

This paper assesses the currency risk management policies for a sample of Australian international equity trusts. The relevance of currency risk management is considered in the context of exchange rate exposure and performance measures. The study incorporates differing economic climates and particular emphasis is given to the Asian crisis in mid-1997. Our results indicate that a good proportion of funds do implement specific currency risk management policies. Furthermore, we find that for those funds managing currency risk, there is some evidence of a favourable impact on currency exposure and fund performance.

Original languageEnglish
Pages (from-to)333-357
Number of pages25
JournalPacific Basin Finance Journal
Volume12
Issue number3
DOIs
Publication statusPublished - Jun 2004
Externally publishedYes

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