Global portfolio management for institutional investors:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Westport, Conn. [u.a.]
Quorum Books
1996
|
| Edition: | 1. publ. |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XIV, 172 S. graph. Darst. |
| ISBN: | 156720032X |
Staff View
MARC
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| 100 | 1 | |a Madura, Jeff |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Global portfolio management for institutional investors |c Jeff Madura |
| 250 | |a 1. publ. | ||
| 264 | 1 | |a Westport, Conn. [u.a.] |b Quorum Books |c 1996 | |
| 300 | |a XIV, 172 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 650 | 7 | |a Institutionele beleggers |2 gtt | |
| 650 | 7 | |a Portfolio-analyse |2 gtt | |
| 650 | 4 | |a Institutional investments | |
| 650 | 4 | |a Investments, Foreign | |
| 650 | 4 | |a Portfolio management | |
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Record in the Search Index
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| adam_text | Contents
Exhibits ix
Preface xiii
1. Measuring the Return and Risk from International
Investing 1
International Returns 2
International Risk 6
Risk Return Profiles of Global Portfolios 17
2. Methods for Investing in Foreign Stocks 21
Investing in U.S. Based Multinational Corporations 21
Investing in Shares of Foreign Stock 22
Investing in American Depository Receipts (ADRs) 23
Investing in International Mutual Funds (IMFs) 40
3. Valuation of Foreign Stocks 51
Company Analysis 52
Country Analysis 54
Foreign Country Versus Company Analysis 57
vi CONTENTS
4. Hedging Market Risk 63
Hedging with Stock Index Futures 63
Hedging with Stock Index Options 67
Hedging by Selling Country Funds Short 72
Limitations of Hedging Market Risk 74
5. Exchange Rate Movements 75
Factors Affecting Exchange Rates 76
Forecasting Exchange Rates 83
6. Hedging Exchange Rate Risk 89
Deciding Whether to Hedge Exchange Rate Risk 90
Risk Reduction Due to Forward Hedging 92
Hedging Exchange Rate Risk with Currency Options 94
Limitations of Hedging Exchange Rate Risk 99
Research on Hedging Exchange Rate Risk 100
7. Dynamic Asset Allocation 103
Scenario 1: Weak Market; Neutral Currency 105
Scenario 2: Neutral Market; Weak Currency 105
Scenario 3: Weak Market; Weak Currency 106
Scenario 4: Strong Market; Neutral Currency 106
Scenario 5: Neutral Market; Strong Currency 106
Using Options in Dynamic Asset Allocation 107
8. Growth of Emerging Markets 109
Risk Return Trade off within Emerging Markets 110
Methods of Investing in Emerging Markets 116
Unique Risks and Restrictions of Emerging Markets 121
Hedging Market Risk of Emerging Markets 131
Hedging Exchange Rate Risk of Emerging Markets 133
9. Performance Evaluation 141
U.S. Index Benchmark 141
World Index Benchmark 142
Country Index Benchmark 142
CONTENTS vii
Separating Market and Exchange Rate Effects 143
Evaluating Return and Risk 144
Appendix: Influence of Foreign Markets on Multinational
Stocks: Implications for Investors 151
References 161
Index 169
Exhibits
EXHIBIT
1 World Stock Market Performance for the Top Five
Performing Markets, 1984 1993 4
2 Returns and Volatility across Markets: Monthly Data,
January 1988 March 1994 7
3 Correlations across Markets over Time: Monthly Data 11
4 Market Betas, January 1988 March 1994 14
5 Return Risk Profiles of Global Portfolios, January
1988 March 1994 18
6 Widely Traded Stocks of Foreign Countries 24
7 Popular ADRs 34
8 Open End Global Equity Funds (Including United
States) 49
9 Open End International Equity Funds 50
10 Closed End International Equity Funds (Industrial
Markets) 50
11 Hedging Market Risk with Stock Index Put Options 68
x EXHIBITS
12 Hedging Market Risk with Stock Index Put Options
That Were Financed By Selling Index Call Options 71
13 Exchange Rate Volatility across Markets over Time,
January 1988 March 1994 76
14 Results of Full Hedging with Forward Contracts 93
15 Relationship between Premium and Deductible Loss
across Option Alternatives 96
16 Hedging with Currency Put Options That Were
Financed By Selling Currency Call Options 98
17 Possible Adjustments to Foreign Market or Exchange
Rate Exposure 104
18 Emerging Markets 111
19 Risk and Return of Emerging Markets 112
20 Sampling of Closed End Emerging Market Funds 117
21 ADRs of Emerging Markets 120
22 Impact of Exchange Rates on Emerging Market
Returns 123
23 Example of Country Risk Rankings, March 1994 127
24 Ratings of Emerging Markets 128
25 Examples of Restrictions in Emerging Markets 131
26 Evidence of a Systematic Decline across Some
Emerging Markets in 1994 134
27 Performance Evaluation of Foreign Investments:
Example 145
28 Performance Evaluation of the Contribution of Foreign
Investments 148
29 Performance Evaluation of Foreign Investments, Based
on the Treynor Index 150
A l Results from Applying Single Index Models 155
A 2 Comparison of Explanatory Power Between Single
and Multi Index Models 156
EXHIBITS xi
A 3 Sensitivity of Stock Portfolios to Local and World
Indices 157
A 4 Sensitivity of Multinationals to Local Stock Indices 158
|
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| discipline | Wirtschaftswissenschaften |
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| id | DE-604.BV011292591 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T18:07:17Z |
| institution | BVB |
| isbn | 156720032X |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-007584285 |
| oclc_num | 33276131 |
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| owner | DE-703 DE-521 |
| owner_facet | DE-703 DE-521 |
| physical | XIV, 172 S. graph. Darst. |
| publishDate | 1996 |
| publishDateSearch | 1996 |
| publishDateSort | 1996 |
| publisher | Quorum Books |
| record_format | marc |
| spelling | Madura, Jeff Verfasser aut Global portfolio management for institutional investors Jeff Madura 1. publ. Westport, Conn. [u.a.] Quorum Books 1996 XIV, 172 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Institutionele beleggers gtt Portfolio-analyse gtt Institutional investments Investments, Foreign Portfolio management Kapitalanlage (DE-588)4073213-7 gnd rswk-swf Kapitalanlage (DE-588)4073213-7 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007584285&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Madura, Jeff Global portfolio management for institutional investors Institutionele beleggers gtt Portfolio-analyse gtt Institutional investments Investments, Foreign Portfolio management Kapitalanlage (DE-588)4073213-7 gnd |
| subject_GND | (DE-588)4073213-7 |
| title | Global portfolio management for institutional investors |
| title_auth | Global portfolio management for institutional investors |
| title_exact_search | Global portfolio management for institutional investors |
| title_full | Global portfolio management for institutional investors Jeff Madura |
| title_fullStr | Global portfolio management for institutional investors Jeff Madura |
| title_full_unstemmed | Global portfolio management for institutional investors Jeff Madura |
| title_short | Global portfolio management for institutional investors |
| title_sort | global portfolio management for institutional investors |
| topic | Institutionele beleggers gtt Portfolio-analyse gtt Institutional investments Investments, Foreign Portfolio management Kapitalanlage (DE-588)4073213-7 gnd |
| topic_facet | Institutionele beleggers Portfolio-analyse Institutional investments Investments, Foreign Portfolio management Kapitalanlage |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007584285&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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