Global Portfolio Rebalancing and Exchange Rates

• 成果类型: Article
• 署名作者: Camanho, Nelson; Hau, Harald; Rey, Helene
• 署名单位: University of London; Queen Mary University London; University of Geneva; Centre for Economic Policy Research - UK; Swiss Finance Institute (SFI); University of London; London Business School; National Bureau of Economic Research
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhac023
• 发表日期: 2022
• 页码: 5228
• 关键词: home bias; asset prices; FLOWS; Allocations; INVESTMENT; investors; returns

摘要

We examine international equity allocations at the fund level and show how excess foreign returns influence portfolio rebalancing, capital flows, and currencies. Our equilibrium model of incomplete foreign exchange (FX) risk trading where exchange rate risk partially segments international equity markets is consistent with the observed dynamics of equity returns, exchange rates, and fund-level capital flows. We document that rebalancing is more intense under higher FX volatility and find heterogeneous rebalancing behavior across different fund characteristics. A granular instrumental variable approach identifies a positive currency supply elasticity. Authors have furnished an , which is available on the Oxford University Press Web site next to the link to the final published paper online.