Results 11 to 20 of about 3,974 (265)
The Term Structure of Currency Hedge Ratios [PDF]
SSRN Electronic Journal, 2008 This paper investigates the variance minimizing currency forward hedge of an exporting firm that is exposed to different sources of risk. In an empirical study, we quantify the corresponding hedge ratios of a "typical" German firm for different hedge horizons.
Korn, Olaf, Koziol, Philipp
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Uluslararası Ekonomi, İşletme ve Politika Dergisi, 2022 This study aimed at comparing the performances of distinct hedge fund strategies and assessing the diversification opportunities using hedge funds. This paper analyses the overall performance of distinct hedge fund strategies (as indices) for the period ...
Hind Benmahi, Emin Avcı
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Copernican Journal of Finance & Accounting, 2020 The present study examines hedging effectiveness of futures contracts in India by using variance reduction approach and risk-return approach by applying eight econometric models. It is observed that OLS hedge ratio generates highest hedging effectiveness
Mandeep Kaur, Kapil Gupta
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ESTIMATING THE HEDGE RATIOS [PDF]
CBU International Conference Proceedings, 2016 This paper examines the problem of hedging portfolio returns. Many practitioners and academicians endeavor to solve the problem of how to calculate the optimal hedge ratio accurately. In this paper we compare estimates of the hedge ratio from a classical approach of a linear quantile regression, based on selected quantiles as medians, with that of a ...
Mária Bohdalová, Michal Greguš
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Efektivitas Hedging Kontrak Futures Komoditi Emas Dengan OLEIN
Jurnal Manajemen Teori dan Terapan, 2011 This research is for comparing hedging effectiveness in gold and olein commodity. Using Ordinary Least Square (OLS) model to determine the hedge ratio, it’s found that olein hedge ratio is bigger than gold hedge ratio.
Fitri Ismiyanti, Hendra Ima Sasmita
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A note on imperfect hedging: a method for testing stability of the hedge ratio
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2012 Companies producing, processing and consuming commodities in the production process often hedge their commodity expositions using derivative strategies based on different, highly correlated underlying commodities. Once the open position in a commodity is
Michal Černý, Jan Pelikán
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Jurnal Manajemen & Agribisnis, 2017 Hedging strategies in the commodity futures market is strongly influenced by the estimation method of hedge ratio. This study examines the effectiveness of hedging strategy against cash position in Indonesia’s palm oil spot market using three hedge ratio
Buddi Wibowo
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Time-Varying Structure of the Optimal Hedge Ratio for Emerging Markets
Scientific Annals of Economics and Business, 2022 Emerging markets are more exposed to risk than developed markets. Therefore, they require risk management using futures market instruments. This study aims to determine the hedging effectiveness of the spot index market risks in the stock index futures ...
Metin Tetik, Ercan Özen
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Re-Evaluating Sharpe Ratio in Hedge Fund Performance in Light of Liquidity Risk
Journal of Banking and Financial Economics, 2021 This paper demonstrates how the Sharpe Ratio can be modified by altering the measure of “total risk” in the denominator of the Sharpe Ratio (i.e., the standard deviation) to include liquidity risk, a major risk for investors in hedge funds that is ...
Richard Van Horne
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The Effect of Asymmetries on Optimal Hedge Ratios [PDF]
The Journal of Business, 2002 There is widespread evidence that the volatility of stock returns displays an asymmetric response to good and bad news. This article considers the impact of asymmetry on time-varying hedges for financial futures. An asymmetric model that allows forecasts of cash and futures return volatility to respond differently to positive and negative return ...
Brooks, Chris +2 more
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