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Hedging Performance And Hedging Objectives: Tests Of New Performance Measures In The Foreign Currency Market

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  • Jerry A. Hammer

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  • Jerry A. Hammer, 1990. "Hedging Performance And Hedging Objectives: Tests Of New Performance Measures In The Foreign Currency Market," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 13(4), pages 307-323, December.
    • Handle: RePEc:bla:jfnres:v:13:y:1990:i:4:p:307-323
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    File URL: http://hdl.handle.net/10.1111/j.1475-6803.1990.tb00635.x
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    References listed on IDEAS

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    1. Leland L. Johnson, 1960. "The Theory of Hedging and Speculation in Commodity Futures," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 27(3), pages 139-151.
    2. Howard, Charles T. & D'Antonio, Louis J., 1984. "A Risk-Return Measure of Hedging Effectiveness," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 19(1), pages 101-112, March.
    3. Stephen Figlewski, 1985. "Hedging with stock index futures: Theory and application in a new market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 5(2), pages 183-199, June.
    4. Franckle, Charles T, 1980. "The Hedging Performance of the New Futures Markets: Comment," Journal of Finance, American Finance Association, vol. 35(5), pages 1273-1279, December.
    5. McFarland, James W & Pettit, R Richardson & Sung, Sam K, 1982. "The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement," Journal of Finance, American Finance Association, vol. 37(3), pages 693-715, June.
    6. Joanne Hill & Thomas Schneeweis, 1982. "The Hedging Effectiveness Of Foreign Currency Futures," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 5(1), pages 95-104, March.
    7. Ederington, Louis H, 1979. "The Hedging Performance of the New Futures Markets," Journal of Finance, American Finance Association, vol. 34(1), pages 157-170, March.
    8. Westerfield, Janice Moulton, 1977. "An examination of foreign exchange risk under fixed and floating rate regimes," Journal of International Economics, Elsevier, vol. 7(2), pages 181-200, May.
    9. Ray D. Nelson & Robert A. Collins, 1985. "A measure of hedging's performance," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 5(1), pages 45-55, March.
    10. Joan C. Junkus & Cheng F. Lee, 1985. "Use of three stock index futures in hedging decisions," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 5(2), pages 201-222, June.
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    Cited by:

    1. Sener, Tulin, 1998. "Objectives of hedging and optimal hedge ratios: US vs Japanese investors," Journal of Multinational Financial Management, Elsevier, vol. 8(2-3), pages 137-153, September.

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