Results 301 to 310 of about 41,412 (327)

Hedge Effectiveness Forecasting

2008
This study focuses on hedging effectiveness defined as the proportionate price risk reduction created by hedging. By mathematical and simulation analysis we determine the following: (a) the regression R2 in the hedge ratio regression will generally overstate the amount of price risk reduction that can be achieved by hedging, (b) the properly computed ...
Dahlgran, Roger A., Ma, Xudong, Dahlgran, Roger A., Ma, Xudong   +3 more
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Optimal Hedging Levels and Hedging Effectiveness in Cattle Feeding

1972
Optimal 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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On Feedback Effects from Hedging Derivatives

Mathematical Finance, 1998
This 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 VIX Futures

SSRN Electronic Journal, 2009
The introduction of VIX futures and options has been a major financial innovation that will facilitate to a great extent the hedging of volatility risk. Using VIX futures, S&P 500 futures, S&P 500 options and S&P 500 futures options, this study examines alternative models within a delta-vega neutral strategy. VIX futures are found to outperform vanilla
Anchor Y. Lin, Yueh-Neng Lin
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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
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STOCK INDEX FUTURES HEDGING: HEDGE RATIO ESTIMATION, DURATION EFFECTS, EXPIRATION EFFECTS AND HEDGE RATIO STABILITY

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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Auditors' Assessment of Hedge Effectiveness

International Journal of Auditing, 2001
There is very little authoritative guidance and very little is known about how auditors assess the effectiveness of derivative hedges. This study investigates the approaches undertaken by auditors in the absence of such guidance. Descriptive evidence on firm procedures was collected in 1997 from the technical offices of each of the then Big 6 audit ...
Gerlinde Gniewosz, Neil Fargher, Roger Simnett   +2 more
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Hedging effectiveness comparisons: A note

International Review of Economics & Finance, 2008
Abstract This note examines the hedging effectiveness of three hedge strategies on twenty-four commodity and financial markets. Lien (Lien, D., 2005a, The use and abuse of the hedging effectiveness measure, International Review of Financial Analysis 14, 277–282, Lien, D., 2005b, A note on the superiority of the OLS hedge ratio, Journal of Futures ...
Donald Lien, Keshab Shrestha
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Hedging effectiveness of REIT futures

Journal of Property Investment & 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 ...
Lee, Chyi Lin (R12396), Lee, Minglong
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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
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