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Downside risk for short and long hedgers

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  • Demirer, Riza
  • Lien, Donald

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  • Demirer, Riza & Lien, Donald, 2003. "Downside risk for short and long hedgers," International Review of Economics & Finance, Elsevier, vol. 12(1), pages 25-44.
    • Handle: RePEc:eee:reveco:v:12:y:2003:i:1:p:25-44
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    References listed on IDEAS

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    1. Donald Lien & Yiu Kuen Tse, 2000. "Hedging downside risk with futures contracts," Applied Financial Economics, Taylor & Francis Journals, vol. 10(2), pages 163-170.
    2. Fishburn, Peter C, 1977. "Mean-Risk Analysis with Risk Associated with Below-Target Returns," American Economic Review, American Economic Association, vol. 67(2), pages 116-126, March.
    3. Wayne Y. Lee & Ramesh K. S. Rao, 1988. "Mean Lower Partial Moment Valuation and Lognormally Distributed Returns," Management Science, INFORMS, vol. 34(4), pages 446-453, April.
    4. Lien, Donald & Tse, Yiu Kuen, 2001. "Hedging downside risk: futures vs. options," International Review of Economics & Finance, Elsevier, vol. 10(2), pages 159-169.
    5. Price, Kelly & Price, Barbara & Nantell, Timothy J, 1982. "Variance and Lower Partial Moment Measures of Systematic Risk: Some Analytical and Empirical Results," Journal of Finance, American Finance Association, vol. 37(3), pages 843-855, June.
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    Cited by:

    1. Hou, Yang & Li, Steven, 2013. "Hedging performance of Chinese stock index futures: An empirical analysis using wavelet analysis and flexible bivariate GARCH approaches," Pacific-Basin Finance Journal, Elsevier, vol. 24(C), pages 109-131.
    2. Hammoudeh, Shawkat M. & Yuan, Yuan & McAleer, Michael & Thompson, Mark A., 2010. "Precious metals-exchange rate volatility transmissions and hedging strategies," International Review of Economics & Finance, Elsevier, vol. 19(4), pages 633-647, October.
    3. Liu, Pan & Vedenov, Dmitry & Power, Gabriel J., 2017. "Is hedging the crack spread no longer all it's cracked up to be?," Energy Economics, Elsevier, vol. 63(C), pages 31-40.
    4. John Cotter & Jim Hanly, 2006. "Reevaluating hedging performance," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 26(7), pages 677-702, July.
    5. Tsai, Hsiu-Jung & Chen, Ming-Chi & Yang, Chih-Yuan, 2014. "A time-varying perspective on the CAPM and downside betas," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 440-454.
    6. Fei, Chengcheng & Vedenov, Dmitry & Stevens, Reid B. & Anderson, David, 2021. "Single-Commodity vs. Joint Hedging in Cattle Feeding Cycle: Is Joint Hedging Always Essential?," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 46(3), September.
    7. John Cotter & Jim Hanly, 2012. "Hedging effectiveness under conditions of asymmetry," The European Journal of Finance, Taylor & Francis Journals, vol. 18(2), pages 135-147, February.
    8. Philip, Dennis & Shi, Yukun, 2016. "Optimal hedging in carbon emission markets using Markov regime switching models," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 43(C), pages 1-15.
    9. Arunanondchai, Panit & Sukcharoen, Kunlapath & Leatham, David J., 2020. "Dealing with tail risk in energy commodity markets: Futures contracts versus exchange-traded funds," Journal of Commodity Markets, Elsevier, vol. 20(C).
    10. Leoni, Patrick L., 2009. "Downside risk of derivative portfolios with mean-reverting underlyings," Discussion Papers on Economics 2/2009, University of Southern Denmark, Department of Economics.
    11. Ubukata, Masato, 2018. "Dynamic hedging performance and downside risk: Evidence from Nikkei index futures," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 270-281.
    12. Karma, Otto & Sander, Priit, 2006. "The impact of financial leverage on risk of equity measured by loss-oriented risk measures: An option pricing approach," European Journal of Operational Research, Elsevier, vol. 175(3), pages 1340-1356, December.
    13. Cotter, John & Hanly, Jim, 2015. "Performance of utility based hedges," Energy Economics, Elsevier, vol. 49(C), pages 718-726.
    14. Demirer, Riza, 2013. "Can advanced markets help diversify risks in frontier stock markets? Evidence from Gulf Arab stock markets," Research in International Business and Finance, Elsevier, vol. 29(C), pages 77-98.
    15. Corbet, Shaen & Hou, Yang (Greg) & Hu, Yang & Oxley, Les, 2022. "The influence of the COVID-19 pandemic on the hedging functionality of Chinese financial markets," Research in International Business and Finance, Elsevier, vol. 59(C).
    16. Beach, Steven L., 2011. "Semivariance decomposition of country-level returns," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 607-623, October.
    17. Mattos, Fabio & Garcia, Philip & Nelson, Carl, 2008. "Relaxing standard hedging assumptions in the presence of downside risk," The Quarterly Review of Economics and Finance, Elsevier, vol. 48(1), pages 78-93, February.
    18. Dai, Jun & Zhou, Haigang & Zhao, Shaoquan, 2017. "Determining the multi-scale hedge ratios of stock index futures using the lower partial moments method," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 466(C), pages 502-510.
    19. Vedenov, Dmitry & Power, Gabriel J., 2022. "We don't need no fancy hedges! Or do we?," International Review of Financial Analysis, Elsevier, vol. 81(C).
    20. Sukcharoen, Kunlapath & Leatham, David J., 2017. "Hedging downside risk of oil refineries: A vine copula approach," Energy Economics, Elsevier, vol. 66(C), pages 493-507.

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