Earticle

초록

영어

In this paper, we analyze the effects of dynamic hedging on the performance of an open-ended fund. We first derive the differences of fund values between hedged and non-hedged funds when dynamic hedging scheme is used. We find that when the currency is negatively correlated with the asset value, the dynamic hedging actually increases the volatility of the hedged fund. In addition to this negative correlation, if the underlying asset return has a negative autocorrelation, dynamic hedging can reduce the value of the hedged fund even when the expected value of currency return is zero. Using a unique sample of 27 ‘Siamese Twin’ international mutual funds in Korea, which offer both hedge and nonhedge options, these theoretical implications are empirically tested and confirmed. Our findings are related to the findings in Campbell, Medeiros, and Viceira (2006), and we conclude that when the dynamic hedging is employed, correlation structure between asset and currency returns must be examined beforehand.

목차

Abstract
 I. Introduction
 II. Dynamic Hedging and Its Effect on Fund Value
 III. Empirical Analyses
  III.1 Historical Background and Data
  III.2 Effects of Dynamic Hedging on Return Volatility
  III.3 Effects of Dynamic Hedging on Fund Return
 IV. Conclusion
 References
 Table

키워드

저자

• Jin-Wan Cho [ Korea University Business School ]
• Taeyong Kim [ Morningstar Associates Korea ]
• Woojin Kim [ Korea University Business School ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330