Results 261 to 270 of about 3,804 (302)

Hedging effectiveness of REIT futures

Journal of Property Investment and Finance, 2012
PurposeThe hedging effectiveness of real estate investment trust (REIT) futures as a critical issue in response to the global REIT market has been extremely volatile in recent years, however few studies have been placed on this area. This study aims to fill in this gap and examine the hedging effectiveness of Australian and Japanese REIT futures over ...
Chyi Lin Lee
exaly   +3 more sources

Optimal hedge ratios and hedging effectiveness: An analysis of the Turkish futures market

Borsa Istanbul Review, 2022
The main purpose of this comprehensive study is to determine the optimal hedge ratios and hedging effectiveness of different futures contracts traded on the Borsa Istanbul (BIST), namely the BIST 30 equity index, US dollar–Turkish lira currency futures ...
Göknur BÜYÜKKARA
exaly   +3 more sources

Return and volatility transmission between gold and stock sectors: Application of portfolio management and hedging effectiveness

IIMB Management Review, 2014
The paper investigates the first and second orders moment transmission between gold and Indian industrial sectors with an application of portfolio design and hedging effectiveness using generalised VAR-ADCC-BVGARCH model.
Dilip Kumar
exaly   +3 more sources

Hedging Effectiveness of Commodity Futures Contracts to Minimize Price Risk: Empirical Evidence from the Italian Field Crop Sector

Risks, 2021
Over the last years, farmers have been increasingly exposed to income risk due to the volatility of the commodities prices. Among others, hedging in futures markets (i.e., financial markets) represents an available strategy for producers to cope with ...
Carlotta Penone, Elisa Giampietri, Samuele Trestini   +2 more
exaly   +3 more sources

EVALUATION OF HEDGE EFFECTIVENESS TESTS

Journal of Derivatives Accounting, 2005
According to IAS 39 or FAS 133 an a posteriori test for hedge effectiveness has to be implemented when using hedge accounting. Both standards do not regulate which numerical method has to be used. A number of hedge effectiveness tests have been published recently.
Hailer, Angelika C., Rump, Siegfried M.
openaire   +1 more source

A combined analysis of hedge effectiveness and capital efficiency in longevity hedging

Insurance: Mathematics and Economics, 2021
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Matthias Börger, Arne Freimann, Jochen Ruß   +2 more
openaire   +1 more source

The Feedback Effect of Hedging in Illiquid Markets

SIAM Journal on Applied Mathematics, 2000
Summary: This paper analyzes the influence of dynamic trading strategies on the prices in financial markets. After a thorough discussion of the modeling issues involved we derive the modification of the stochastic process of the underlying asset that follows from the presence of dynamic trading strategies.
Paul Wilmott, Philipp J. Schönbucher
openaire   +2 more sources

On hedge effectiveness and risk decomposition

Proceedings of the IEEE/IAFE 1999 Conference on Computational Intelligence for Financial Engineering (CIFEr) (IEEE Cat. No.99TH8408), 2003
A new approach to hedge accounting in the US as prescribed by the Statement of Financial Accounting Standards No.133 will be applicable to all fiscal years beginning June 1999. The Financial Accounting Standards Board requires both ex-ante and ex-post assessment of hedge effectiveness.
Alvin Kuruc, Bernard Lee, Alastair Wilkins   +2 more
openaire   +1 more source

Test of the Effectiveness of Hedging

Journal of Political Economy, 1965
FUTURES markets have been analyzed in two apparently different ways for the purpose of evaluating their efficiency for hedging purposes. The different approaches purport to reflect different concepts of hedging. The main objective of this article is to examine the relationship between the two testing procedures and to consider the adequacy of the tests
R. H. Snape, B. S. Yamey
openaire   +1 more source

Hedge Effectiveness Testing as a Screening Mechanism for Hedge Accounting

Journal of Accounting, Auditing & Finance, 2014
Accounting for financial instruments has been subject to much controversy, particularly accounting practices related to derivatives held for hedging purposes. For cash flow hedges, poor matching may result when fair-value accounting is prescribed for the hedging instrument and historical cost is prescribed for the assets that generate the “highly ...
Dennis Frestad, Leif Atle Beisland
openaire   +1 more source