On the Rewards to International Investing: A Safe Haven Currency Perspective

Jean-Pierre Danthine and Samuel Danthine

No 11984, CEPR Discussion Papers from Centre for Economic Policy Research

Abstract: The safe haven property of the Swiss franc presents a specific challenge for Swiss-based investors in their international investments. The central issue is whether the traditional under-performance of Swiss assets is compensated by the currency risk associated with the safe haven and the secular appreciation tendency of the franc. In this paper we review the evidence on the terms of this challenge. We conclude that long-run Swiss-based investors are well compensated for the currency risks they take on, that a Swiss-bias in asset allocation can lead to considerable return shortfalls over the long run, and that systematic currency hedging would not have been historically justified and is unlikely to be in the future.

Keywords: Safe haven currency; Currency hedging; Uncovered interest parity (search for similar items in EconPapers)
JEL-codes: F30 F31 G11 (search for similar items in EconPapers)
Date: 2017-04
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: On the rewards to international investing: a safe haven currency perspective (2018)
Working Paper: On the rewards to international investing: a safe haven currency perspective (2018)
Working Paper: On the rewards to international investing: a safe haven currency perspective (2018)
Working Paper: On the Rewards to International Investing: A Safe Haven Currency Perspective (2017)
Working Paper: On the Rewards to International Investing: A Safe Haven Currency Perspective (2017)
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