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Optimal Hedging Levels and Hedging Effectiveness in Cattle Feeding
1972Optimal hedging level, minimum-risk hedging level, and hedging effectiveness are defined in a manner consistent with portfolio theory and used to analyze hedging potential in cattle feeding. Estimated upper limits on optimal hedging levels ranged from 0.56 to 0.88 unit of short futures per unit of four types of slaughter cattle produced at five ...
Heifner, Richard G., Heifner, Richard G.
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The role of long memory in hedging effectiveness
Computational Statistics & Data Analysis, 2008zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Coakley, J, Dollery, J, Kellard, NM
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On Feedback Effects from Hedging Derivatives
Mathematical Finance, 1998This paper proposes a new explanation for the smile and skewness effects in implied volatilities. Starting from a microeconomic equilibrium approach, we develop a diffusion model for stock prices explicitly incorporating the technical demand induced by hedging strategies.
Platen, Eckhard, Schweizer, Martin
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Hedging effectiveness of stock index futures
European Journal of Operational Research, 2005zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Jason Laws, John L. Thompson
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The Effect of the Hedge Horizon on Optimal Hedge Size and Effectiveness When Prices are Cointegrated
Journal of Futures Markets, 2011This study compares two alternative regression specifications for sizing hedge positions and measuring hedge effectiveness: a simple regression on price changes and an error correction model (ECM). We show that, when the prices of the hedged item and the hedging instrument are cointegrated, both specifications yield similar results which depend on the ...
Ted Juhl, Ira G. Kawaller, Paul D. Koch
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Improvement of Hedging Effect Based on the Average Hedging Ratio
2018This paper is aimed at exploring the improvement of hedging effect based on the theory of portfolio hedging, with multiple groups of CSI300 stock index futures and spot sample data as the analysis object. The minimum variance method is employed to estimate the optimal hedging ratio under the OLS and GARCH hedging models and calculate the average of the
Yang Liu, Chuan-he Shen
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Journal of Business Finance & Accounting, 1996
This paper examines hedging effectiveness for the FTSE‐100 Stock Index futures contract from 1984 to 1992. It investigates the appropriate econometric technique to use in estimating minimum variance hedge ratios by undertaking estimations using OLS, an ECM and GARCH. Simple OLS outperforms more complex econometric techniques.
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This paper examines hedging effectiveness for the FTSE‐100 Stock Index futures contract from 1984 to 1992. It investigates the appropriate econometric technique to use in estimating minimum variance hedge ratios by undertaking estimations using OLS, an ECM and GARCH. Simple OLS outperforms more complex econometric techniques.
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The Effects of Hedges in Persuasive Arguments
Journal of Language and Social Psychology, 2008Drawing together research on persuasion and text comprehension, two experiments test the effects of hedge placement (Experiment 1) and hedge type (Experiment 2) on attitudes, source evaluations, and perceptions of argument strength. Participants read an editorial in support of implementing comprehensive exams at their university.
Amanda M. Durik +3 more
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Evaluating the Effectiveness of Futures Hedging
2014This chapter examines the Ederington hedging effectiveness (EHE) comparisons between unconditional OLS hedge strategy and other conditional hedge strategies. It is shown that OLS hedge strategy outperforms most of the optimal conditional hedge strategies when EHE is used as the hedging effectiveness criteria.
Donald Lien +3 more
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The Effects of Hedge Fund Activism
2021In this paper I explore the relationship between the rise of hedge fund activism and firm outcomes, using a study design that explicitly takes into account how activists pick their targets. Contrary to much prior work, I find no evidence that activism is associated with increased firm operating performance or significant long-term returns once ...
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