場所: 東京大学経済学研究科学術交流棟(小島ホール)2階 コンファレンスルーム
スピーカー: Matthew P. Richardson氏
(Charles E. Simon Professor of Applied Economics, New York University)

演題:"Risk Without Reward:The Case for Strategic FX Hedging"

We consider the case for strategic currency hedging as a tool for explicitly targeting optimal currency exposure in international equity portfolios. We show that foreign currency exposure meaningfully adds to risk in most environments, and does so without providing commensurate compensation. In periods when the correlation between international stock returns and foreign currency returns is positive, basic portfolio math means that the additional risk is particularly pronounced. A strategic program of full or partial currency hedging can therefore help reduce portfolio risk and drawdowns, while maintaining expected returns.

Matthew Richardson is the Charles E. Simon Professor of Applied Economics in the Finance Department at the Leonard N. Stern School of Business at New York University. He recently coedited two books on the financial crisis titled, Restoring Stability: How to Repair a Failed System (Wiley, 2009), and, Regulating Wall Street: The Dodd-Frank Act and the New Architecture of Global Finance (Wiley, November 2010), and is a co-author of, Guaranteed to Fail: Fannie Mae, Freddie Mac and the Debacle of Mortgage Finance (Princeton University Press, March 2011). Professor Richardson completed both his bachelor and master degrees in economics concurrently at the University of California at Los Angeles. He received his doctor of philosophy in finance from the Graduate School of Business at Stanford University.