Results 261 to 270 of about 3,845,111 (305)

Cross and Delta-Hedges: Regression versus Price-Based Hedge Ratios

SSRN Electronic Journal, 1999
In implementing a variance-minimizing cross or delta hedge, the regression coefficient is often estimated using data from the past, but one could also use estimators that are suggested by the random-walk or unbiased-expectations models and require just a single price.
Piet Sercu, Xueping Wu
openaire   +1 more source

Biodiesel Cross-Hedging Opportunities

2020
We 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., Irwin, Scott H., Garcia, Phil, Franken, Jason R.V., Irwin, Scott H., Garcia, Phil   +5 more
openaire   +1 more source

A Comparison of Alternative Approaches to Hedging and Cross-Hedging

1988
Performance of the U.S.
Fryar, Edward O., Ooi, Chee Soon, Arnold, Tim J., Fryar, Edward O., Ooi, Chee Soon, Arnold, Tim J.   +5 more
openaire   +1 more source

CROSS-HEDGING COTTONSEED MEAL

2000
This study examines the feasibility of cross-hedging cottonseed meal with soybean meal futures. A simple linear regression of cottonseed meal cash prices on soybean meal futures provides a direct price movement relationship. Using the estimated hedge ratios, the net realized prices are calculated for seven different cash markets.
Rahman, Shaikh Mahfuzur, Turner, Steven C., Costa, Ecio De Farias, Rahman, Shaikh Mahfuzur, Turner, Steven C., Costa, Ecio De Farias   +5 more
openaire   +5 more sources

Is Minimum Variance Hedging Necessary for Equity Indices? A Study of Hedging and Cross-Hedging Exchange Traded Funds [PDF]

, 2005
This paper investigates the optimal short-term hedging of Exchange Traded Fund (ETF) portfolios with index futures. Using daily data from May 2000 to December 2004 on the four largest passive ETFs (the Spider, the Diamond, the Cubes and the Russell iShare) and their corresponding index futures we examine the performance of minimum variance hedges for ...
Carol Alexander, Andreza Barbosa
openaire   +1 more source

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
openaire  

Cross‐Hedging: Basis Risk and Choice of the Optimal Hedging Vehicle

Financial Review, 1991
AbstractThe basis between a futures contract and its underlying instrument is an important measure of the cost of using the futures contract to hedge. In a cross‐hedge, the relative size of the basis of alternative hedging vehicles often plays a decisive role in the selection of the optimal hedging vehicle.
Mark G. Castelino, Jack C. Francis, Avner Wolf   +2 more
openaire   +1 more source

Cross-hedging foreign currency risk

Journal of International Money and Finance, 1987
Abstract 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.
Mark R Eaker, Dwight M Grant
openaire   +1 more source

Multiple currencies and cross hedging [PDF]

, 1995
The paper derives optimal cross hedging and production rules for an exporting firm which faces multiple exchange rate risks. We study the impact of currency cross hedging upon the firm's export production for two countries. We demonstrate that when the forward market for cross hedging is unbiased there is a full hedge.
Broll, Udo, Zilcha, Itzhak
openaire   +1 more source

An Alternative View on Cross Hedging

2003
Risk management in incomplete financial markets has to rely on cross hedging which creates basis risk. This paper focuses on cross hedging price risk with futures contracts in an expected utility model. So far, basis risk has been additively related to either the spot price or the futures price.
openaire   +1 more source