Results 71 to 80 of about 1,485,456 (149)
Hedging Effectiveness under Conditions of Asymmetry [PDF]
We examine whether hedging effectiveness is affected by asymmetry in the return distribution by applying tail specific metrics to compare the hedging effectiveness of short and long hedgers using crude oil futures contracts.
Jim Hanly, John Cotter
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Hedging Cash Flows from Commodity Processing [PDF]
Agribusinesses make long-term plant-investment decisions based on discounted cash flow. It is therefore incongruous for an agribusiness firm to use cash flow as a plant-investment criterion and then to completely discard cash flow in favor of batch ...
Dahlgran, Roger A.
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Measuring the error of dynamic hedging: a Laplace transform approach [PDF]
We compute the expected value and the variance of the discretization error of delta hedging and of other strategies in the presence of proportional transaction costs.
Flavio Angelini, Stefano Herzel
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CROSS-HEDGING COTTONSEED MEAL [PDF]
This study examines the feasibility of cross-hedging cottonseed meal with soybean meal futures. The simple linear regression of cottonseed meal cash prices on soybean meal futures provides a direct price movement relationship.
Rahman, Shaikh Mahfuzur +2 more
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Transaction Frequency and Hedging in Commodity Processing [PDF]
This study examines the effect of transaction frequency on profit and cash flow risk for firms that periodically purchase inputs, continuously transform inputs into outputs, and periodically sell output.
Dahlgran, Roger A.
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Currency Derivatives under a Minimal Market Model with Random Scaling [PDF]
This paper uses an alternative, parsimonious stochastic volatility model to describe the dynamics of a currency market for the pricing and hedging of derivatives.
David Heath, Eckhard Platen
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Both market advisors and researchers have often suggested rollover hedging as a way of increasing producer returns. This study tests whether rollover hedging can increase expected returns for producers.
Yoon, Byung-Sam, Brorsen, B. Wade
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THE USE OF MEAN-VARIANCE FOR COMMODITY FUTURES AND OPTIONS HEDGING DECISIONS [PDF]
This study provides additional evidence of the usefulness of mean-variance procedures in the presence of options which can truncate and skew the returns distribution.
Adam, Brian D. +2 more
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Cross Hedging with Single Stock Futures [PDF]
This study evaluates the efficiency of cross hedging with the new single stock futures (SSF) contracts recently introduced in the United States. We use matched sample estimation techniques to select SSF contracts that will reduce the basis risk of ...
Sang Soo Kim +2 more
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Re-evaluating Hedging Performance [PDF]
Mixed results have been documented for the performance of hedging strategies using futures. This paper reinvestigates this issue using an extensive set of performance evaluation metrics across seven international markets.
Jim Hanly, John Cotter
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