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Single stock futures can act as an almost perfect hedging instrument for overseas investors. The hedge is static, thus minimizing transactions costs and lays off the unwanted foreign exchange risk. The paper is tested on a sample of 80 US stocks over a 12-month period from the viewpoint of portfolio managers accounting in five different currencies.
Single stock futures can act as an almost perfect hedging instrument for overseas investors. The hedge is static, thus minimizing transactions costs and lays off the unwanted foreign exchang…