dc.contributor.author | Bergesen, Ole | |
dc.contributor.author | Bø-Rygg, Osmund | |
dc.date.accessioned | 2013-11-04T08:31:54Z | |
dc.date.available | 2013-11-04T08:31:54Z | |
dc.date.issued | 2013-07-15 | |
dc.identifier.uri | http://hdl.handle.net/11250/184004 | |
dc.description | Master's thesis in Finance | no_NO |
dc.description.abstract | In this thesis we study currency hedging from the perspective of a developed market (DM)
value investor who invests in emerging markets (EM). We construct emerging market equity
portfolios sorted on P/E, P/B, and both P/E and P/B. For all portfolios we look for evidence of
a value premium, and analyze hedged and unhedged performance. Our analysis shows that
value stocks outperform growth stocks, and that hedging a value portfolio can provide
marginally higher risk-adjusted returns. The hedged portfolios do on the other hand provide
potential diversification benefits due to lower correlation with their respective benchmarks.
We conclude that there is a significant value premium, but currency hedging does not
significantly outperform an unhedged strategy. For diversified portfolios consisting of 50%
global stocks and 50% emerging markets value stocks, risk adjusted returns are lower than for
the undiversified counterparts. However, in this scenario currency hedging emerging markets
can provide significantly higher risk-adjusted returns. | no_NO |
dc.language.iso | eng | no_NO |
dc.publisher | University of Stavanger, Norway | no_NO |
dc.relation.ispartofseries | Masteroppgave/UIS-SV-HH/2013; | |
dc.subject | currency hedging | no_NO |
dc.subject | emerging markets | no_NO |
dc.subject | value investing | no_NO |
dc.subject | økonomi | no_NO |
dc.subject | administrasjon | no_NO |
dc.subject | anvendt finans | no_NO |
dc.title | Currency hedging for emerging market value portfolios | no_NO |
dc.type | Master thesis | no_NO |
dc.subject.nsi | VDP::Social science: 200::Economics: 210 | no_NO |