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Agrekon
The purpose of this research is to investigate the use of cross-hedging in the South African soybean market, by using the JSE BEAN contract as a cross-hedge instrument for the JSE SOYA contract.
M C Erasmus
exaly +2 more sources
The purpose of this research is to investigate the use of cross-hedging in the South African soybean market, by using the JSE BEAN contract as a cross-hedge instrument for the JSE SOYA contract.
M C Erasmus
exaly +2 more sources
Pricing the hedging factor in the cross-section of stock returns
North American Journal of Economics and Finance, 2021We investigate the role of investors’ net hedging strategy (factor) in predicting stock returns and pricing the cross-section of individual stocks and equity portfolios.
Kwamie Dunbar
exaly +2 more sources
Cross-hedging strategies between CDS spreads and option volatility during crises
Journal of International Money and Finance, 2014This paper presents a joint analysis of the term structure of credit default swap (CDS) spreads and the implied volatility surface for five European countries from 2007 to 2012, a sample period covering both the Global Financial Crisis (GFC) and the ...
JOSÉ Da Fonseca
exaly +2 more sources
Is Cross-Hedging Effective for Mitigating Equity Investment Risks in the Indian Banking Sector?
Asia-Pacific Financial Markets, 2022Nithin JOSÉ
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Hedging and Cross-hedging ETFs [PDF]
, 2007 This paper presents an empirical study of hedging the four largest US index exchange traded funds (ETFs). When hedging each ETF position with its own index futures we find that it is difficult to improve on the naïve 1:1 futures hedge, that hedging is less effective around the time of dividend payments, and that hedged portfolio returns tend to have ...
Carol Alexander, Andreza Barbosa
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Cross Hedging with Currency Forward Contracts
Journal of Futures Markets, 2013This study examines the behavior of a competitive exporting firm that exports to a foreign country and faces multiple sources of exchange rate uncertainty. Although there are no hedging instruments between the home and foreign currencies, there is a third country that has well‐developed currency forward markets to which the firm has access.
K. Wong
semanticscholar +4 more sources
Cross-hedging foreign currency risk
Journal of International Money and Finance, 1987Abstract This paper provides empirical evidence on the effectiveness of cross-hedging to reduce foreign exchange risk. Simple cross-hedges for currencies with and without futures contracts, multiple cross-hedges, portfolio hedges, and commodity cross-hedges are examined.
M. Eaker, Dwight M. Grant
semanticscholar +2 more sources
Cross Hedging and Liquidity: a note [PDF]
, 2003 Cross hedging is a way to improve statistical hedge results because of markets'incompletion. In this framework, several markets instead of just one market, are used to increase the hedger’s financial possibilities. In the Anderson-Danthine model (1981), the optimal hedge in the multivariate case is described and commented, but transaction costs are ...
Sévi, B.
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Currency hedging for single-currency equity portfolios: Does cross-asset risk matter?
Global Finance Journal, 2021Foreign investors who are fully invested in a single-currency domestic equity portfolio are exposed to domestic equity risk, but also to currency risk.
Michael Kunkler
semanticscholar +1 more source
Biodiesel Cross-Hedging Opportunities
2020We apply an encompassing framework to assess the viability of hedging spot biodiesel price risk for four U.S. markets with a conventionally used heating oil futures contract and a soybean oil futures contract based on the logic that supply shifts (i.e., price of soybean oil as an input) drive biodiesel prices when binding blending mandates are in place.
Franken, Jason R.V. +5 more
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