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Interest Rate Risk, Market Value, And Hedging Financial Portfolios

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  • Michael T. Belongia
  • G. J. Santoni

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  • Michael T. Belongia & G. J. Santoni, 1987. "Interest Rate Risk, Market Value, And Hedging Financial Portfolios," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 10(1), pages 47-55, March.
    • Handle: RePEc:bla:jfnres:v:10:y:1987:i:1:p:47-55
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    File URL: http://hdl.handle.net/10.1111/j.1475-6803.1987.tb00474.x
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    References listed on IDEAS

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    1. Rodney L. Jacobs, 1982. "Restructuring the maturity of regulated deposits with treasury‐bill futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 2(2), pages 183-193, June.
    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. Michael T. Belongia & G. J. Santoni, 1985. "Cash flow or present value: what's lurking behind that hedge?," Review, Federal Reserve Bank of St. Louis, vol. 67(Jan), pages 5-13.
    4. Paul Cicchetti & Charles Dale & Anthony J. Vignola, 1981. "Usefulness of treasury bill futures as hedging instruments," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 1(3), pages 379-387, September.
    5. 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.
    6. Jack W. Parker & Robert T. Daigler, 1981. "Hedging money market CDs with treasury‐bill futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 1(4), pages 597-606, December.
    7. G. D. Koppenhaver, 1984. "Selective Hedging Of Bank Assets With Treasury Bill Futures Contracts," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 7(2), pages 105-119, June.
    8. Charles T. Franckle & Andrew J. Senchack Jr., 1982. "Economic considerations in the use of interest rate futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 2(1), pages 107-116, March.
    9. Alden L. Toevs, 1983. "Gap management: managing interest rate risk in banks and thrifts," Economic Review, Federal Reserve Bank of San Francisco, issue Spr, pages 20-35.
    10. 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.
    11. Joanne Hill & Joseph Liro & Thomas Schneeweis, 1983. "Hedging performance of GNMA futures under rising and falling interest rates," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 3(4), pages 403-413, December.
    12. 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.
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    Cited by:

    1. Rik Hafer & Scott E. Hein, 1989. "Comparing futures and survey forecasts of near-term Treasury bill rates," Review, Federal Reserve Bank of St. Louis, issue May, pages 33-42.

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