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Designing A Proper Hedge: Theory Versus Practice

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  • Chao Jiang
  • Ira G. Kawaller
  • Paul D. Koch

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  • Chao Jiang & Ira G. Kawaller & Paul D. Koch, 2016. "Designing A Proper Hedge: Theory Versus Practice," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 39(2), pages 123-144, June.
    • Handle: RePEc:bla:jfnres:v:39:y:2016:i:2:p:123-144
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    File URL: http://hdl.handle.net/10.1111/jfir.12091
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    References listed on IDEAS

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    1. Bruce A. Benet, 1992. "Hedge period length and Ex‐ante futures hedging effectiveness: The case of foreign‐exchange risk cross hedges," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 12(2), pages 163-175, April.
    2. A. G. Malliaris & Jorge L. Urrutia, 1991. "The impact of the lengths of estimation periods and hedging horizons on the effectiveness of a Hedge: Evidence from foreign currency futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 11(3), pages 271-289, June.
    3. John M. Charnes & Paul Koch & Henk Berkman, 2003. "Measuring Hedge Effectiveness For Fas 133 Compliance," Journal of Applied Corporate Finance, Morgan Stanley, vol. 15(4), pages 95-103, September.
    4. Ted Juhl & Ira G. Kawaller & Paul D. Koch, 2012. "The Effect of the Hedge Horizon on Optimal Hedge Size and Effectiveness When Prices are Cointegrated," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(9), pages 837-876, September.
    5. A. G. Malliaris & Jorge Urrutia, 1991. "Tests of random walk of hedge ratios and measures of hedging effectiveness for stock indexes and foreign currencies," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 11(1), pages 55-68, February.
    6. John M. Geppert, 1995. "A statistical model for the relationship between futures contract hedging effectiveness and investment horizon length," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 15(5), pages 507-536, August.
    7. Richardson, Matthew & Smith, Tom, 1991. "Tests of Financial Models in the Presence of Overlapping Observations," Review of Financial Studies, Society for Financial Studies, vol. 4(2), pages 227-254.
    8. John Y. Campbell & Robert J. Shiller, 1991. "Yield Spreads and Interest Rate Movements: A Bird's Eye View," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 58(3), pages 495-514.
    9. Charles T. Howard & Louis J. D'Antonio, 1991. "Multiperiod hedging using futures: A risk minimization approach in the presence of autocorrelation," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 11(6), pages 697-710, December.
    10. Joanne Hill & Thomas Schneeweis, 1981. "A note on the hedging effectiveness of foreign currency futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 1(4), pages 659-664, December.
    11. Wong, MHF, 2000. "The Association between SFAS No. 119 derivatives disclosures and the foreign exchange risk exposure of manufacturing firms," Journal of Accounting Research, Wiley Blackwell, vol. 38(2), pages 387-417.
    12. Donald Lien & Xiangdong Luo, 1993. "Estimating multiperiod hedge ratios in cointegrated markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 13(8), pages 909-920, December.
    13. 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.
    14. Phillips, Peter C B & Ouliaris, S, 1990. "Asymptotic Properties of Residual Based Tests for Cointegration," Econometrica, Econometric Society, vol. 58(1), pages 165-193, January.
    15. Kawaller, Ira G & Koch, Paul D & Koch, Timothy W, 1987. "The Temporal Price Relationship between S&P 500 Futures and the S and P 500 Index," Journal of Finance, American Finance Association, vol. 42(5), pages 1309-1329, December.
    16. 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.
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    Cited by:

    1. Białkowski, Jędrzej & Bohl, Martin T. & Perera, Devmali, 2023. "Commodity futures hedge ratios: A meta-analysis," Journal of Commodity Markets, Elsevier, vol. 30(C).

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