Home About us Contact
|
Home About us Contact | ||
|
|
||
Hedge
Terms modified by Hedge Selected AbstractsTo Hedge or Not to Hedge,That Is the Question Empirical Evidence from the North American Gold Mining Industry 1996,2000FINANCIAL MARKETS, INSTITUTIONS & INSTRUMENTS, Issue 4 2002Matthew Callahan First page of article [source] To Hedge or Not to Hedge: Managing Demographic Risk in Life Insurance CompaniesJOURNAL OF RISK AND INSURANCE, Issue 1 2006Helmut Gründl Demographic risk, i.e., the risk that life tables change in a nondeterministic way, is a serious threat to the financial stability of an insurance company having underwritten life insurance and annuity business. The inverse influence of changes in mortality laws on the market value of life insurance and annuity liabilities creates natural hedging opportunities. Within a realistically calibrated shareholder value (SHV) maximization framework, we analyze the implications of demographic risk on the optimal risk management mix (equity capital, asset allocation, and product policy) for a limited liability insurance company operating in a market with insolvency-averse insurance buyers. Our results show that the utilization of natural hedging is optimal only if equity is scarce. Otherwise, hedging can even destroy SHV. A sensitivity analysis shows that a misspecification of demographic risk has severe consequences for both the insurer and the insured. This result highlights the importance of further research in the field of demographic risk. [source] Notes on the family Brassicaceae in ChinaJOURNAL OF SYSTEMATICS EVOLUTION, Issue 3 2009Dmitry A GERMAN Abstract A critical revision of the collections of Brassicaceae in some Chinese (PE, XJA, XJBI, XJFA, XJNM, XJU) and foreign (LE, P) herbaria is made. One genus, Neurotropis (DC.) F. K. Mey., and 11 species, Alyssum szarabiacum Nyár., Barbarea stricta Andrz., Erysimum czernjajevii N. Busch, Erysimum kotuchovii D. German, Erysimum mongolicum D. German, Lepidium karelinianum Al-Shehbaz, Matthiola superba Conti, Neurotropis platycarpa (Fisch. & Mey.) F. K. Mey., Ptilotrichum dahuricum Peschkova, Sisymbrium subspinescens Bunge, and Smelowskia micrantha (Botsch. & Vved.) Al-Shehbaz & S. I. Warwick, are reported from China for the first time. Six species, Aphragmus involucratus (Bunge) O. E. Schulz, Dontostemon perennis C. A. Mey., Goldbachia torulosa DC., Lepidium amplexicaule Willd., Neotorularia brevipes (Kar. & Kir.) Hedge & J. Léonard, and Parrya stenocarpa Kar. & Kir., are confirmed to occurr in China. Five species, Dontostemon integrifolius (L.) C. A. Mey., Draba zangbeiensis L. L. Lou, Lepidium alashanicum H. L. Yang, Sinapis arvensis L., and Strigosella brevipes (Bunge) Botsch., are reported as novelties for some provinces in China, and Strigosella hispida (Litv.) Botsch. occurs in Xinjiang, China. However, the occurrence of one genus, Pseudoarabidopsis Al-Shehbaz, O'Kane & Price, and four species, Draba huetii Boiss., Eutrema halophilum (C. A. Mey.) Al-Shehbaz & S. I. Warwick, Galitzkya spathulata (Steph. ex Willd.) V. Bocz., and Pseudoarabidopsis toxophylla (Bieb.) Al-Shehbaz, O'Kane & Price, could not be confirmed in China. The occurrence of six species, Aphragmus bouffordii Al-Shehbaz, Barbarea orthoceras Ledeb., Lepidium latifolium L., Ptilotrichum canescens (DC.) C. A. Mey., Strigosella hispida (Litv.) Botsch., and Strigosella scorpioides (Bunge) Botsch., is not confirmed in certain provinces of China. All names follow the latest taxonomic treatment for relevant groups; detailed morphological descriptions of the newly recorded taxa are provided; and distinguishing characters from related species already known in China are discussed. Other comments are provided where needed. [source] Children use categories to maximize accuracy in estimationDEVELOPMENTAL SCIENCE, Issue 6 2006Sean Duffy The present study tests a model of category effects upon stimulus estimation in children. Prior work with adults suggests that people inductively generalize distributional information about a category of stimuli and use this information to adjust their estimates of individual stimuli in a way that maximizes average accuracy in estimation (see Huttenlocher, Hedges & Vevea, 2000). However, little is known about the developmental origin of this cognitive process. In the present study, 5- and 7-year-old children viewed stimuli that varied in size and reproduced each from memory. Consistent with the predictions of a Bayesian model of category effects on estimation, responses were adjusted toward the central value of the stimulus distribution. Additionally, the dispersion of the stimulus distribution affected the pattern of bias and variability of responses in a way that is predicted by the model. The results suggest that, like adults, children use categories for increasing average accuracy in estimating inexact stimuli. [source] Assessing the Information Content of Mark-to-Market Accounting with Mixed Attributes: The Case of Cash Flow HedgesJOURNAL OF ACCOUNTING RESEARCH, Issue 2 2007FRANK GIGLER ABSTRACT We examine how outsiders rationally interpret a reported loss on derivatives when the application of mark-to-market accounting to cash flow hedges creates a mixed attribute problem. We find that because of the mixed attribute problem, the information content of mark-to-market accounting is related to the information content of historical cost accounting in a very specific way. This relationship allows us to identify the circumstances under which mark-to-market accounting facilitates and when it detracts from the objective of providing an early warning of potential financial distress. We show that the reporting of an impending derivative loss by a distressed firm can actually lead outsiders to infer that the firm is in a better financial position than what they would have inferred under the silence associated with historical cost accounting. Without the mixed attribute problem, mark-to-market accounting would always yield more accurate assessments of the firm's financial position. [source] Discussion of Assessing the Information Content of Mark-to-Market Accounting with Mixed Attributes: The Case of Cash Flow Hedges and Market Transparency and the Accounting RegimeJOURNAL OF ACCOUNTING RESEARCH, Issue 2 2007HYUN SONG SHIN First page of article [source] Interventions to reduce the burden of caregiving for an adult with dementia: A meta-analysis,RESEARCH IN NURSING & HEALTH, Issue 5 2001Gayle J. Acton Abstract Because of conflicting results, in order to clarify the state of the science it was necessary to do a systematic analysis of the literature on research testing the effect of interventions on the burden of persons caring for family members with dementia. The purpose of this study was to evaluate, using meta-analytic techniques, those intervention strategies (support group, education, psychoeducation, counseling, respite care, and multicomponent) designed to help caregivers cope with the burden of caregiving. Using meta-analytic methods developed by Glass, McGraw, and Smith (1981) and Hedges and Olkin (1985), 24 published research reports testing 27 treatments for caregivers of adults with dementia were synthesized. Overall, the analysis showed that collectively the interventions had no effect on caregiver burden. Only the category of multicomponent interventions significantly reduced caregiver burden. Burden may be too global an outcome to be affected consistently by intervention. Better and more precise measures are needed to evaluate the effects of caregiver interventions properly. © 2001 John Wiley & Sons, Inc. Res Nurs Health 24:349,360, 2001 [source] The Development of Memory for Location: What Role Do Spatial Prototypes Play?CHILD DEVELOPMENT, Issue 2 2001Jodie M. Plumert Two experiments investigated the role of spatial prototypes in estimates of location. In Experiment 1 (N= 144), children and adults learned the locations of 20 objects in an open, square box designed to look like a model house. In two conditions, opaque lines or walls divided the house into four regions, and in the other condition, no boundaries were present. Following learning, the dots marking the locations were removed, and participants attempted to replace the objects. Children and adults overestimated distances between target locations in different regions. Contrary to Huttenlocher, Hedges, and Duncan's hierarchical theory of spatial memory, none of the groups displaced the objects toward the region centers. In Experiment 2 (N == 96), boundaries were removed during testing to determine whether children and adults were more likely to displace objects toward region centers when uncertainty about location increased. Again, all age groups overestimated distances between target objects in different regions. In addition, adults and 11-year-olds in the most salient boundary condition displaced objects toward the region centers. Discussion focuses on the implications of these results for understanding how children and adults estimate location. [source] ,Go Out into the Highways and the Hedges': The Diary of Michael Sykes, Conservative Political Lecturer, 1895 and 1907,8*PARLIAMENTARY HISTORY, Issue 2 2001KATHRYN RIX First page of article [source] Hedging Affecting Firm Value via Financing and Investment: Evidence from Property Insurance UseFINANCIAL MANAGEMENT, Issue 3 2010Hong Zou I provide evidence about the value effects of alternative risk management by examining corporate purchase of property insurance, a commonly used pure hedge of asset-loss risks. Using an insurance data set from China, I find that there is an inverted U-shape effect of the extent of property insurance use on firm value measured by several versions of Tobin's Q. Therefore, the use of property insurance, to a certain degree, has a positive effect on firm value; however, over insurance appears detrimental to firm value. Given that the inflection points occur at relatively high levels of the observed insurance spending, insurance use appears beneficial to the majority of my sample firms. The estimated average hedging premium is about 1.5%. I demonstrate that an avenue for insurance to create value in China is that it helps firms secure valuable new debt financing and enhance investment. [source] Dispersal of adult aquatic Chironomidae (Diptera) in agricultural landscapesFRESHWATER BIOLOGY, Issue 3 2000Yannick R. Delettre SUMMARY 1This study investigates the possible influence of terrestrial landscape structure on the spatial distribution of adult Chironomidae emerging from water bodies in three agricultural areas, each with hedgerow networks, in Brittany (France). 2Using spatially explicit data from 128 yellow pan traps set in pairs at the bottom of hedges throughout the three study areas, we show that landscape structure and heterogeneity must be considered at two different spatial scales. 3At a global scale, distance to water bodies was the main factor explaining the spatial distribution of adult chironomids: both species richness and abundance changed beyond a critical distance to the stream, resulting in different species assemblages of flying insects. 4At a local scale, the abundance of species and individuals at rest in hedges changed with the quality of the hedge (mainly determined by canopy width and cover of the different vegetation layers). 5The density of the hedgerow network, and landscape openness, both influenced the dispersal of chironomid species from water bodies. 6This study, which provides the first estimate of the dispersal capabilities of chironomids in particular landscapes, suggests that the terrestrial environment is an essential component of population dynamics and community structure in aquatic Chironomidae. [source] Climate change and bet-hedging: interactions between increased soil temperatures and seed bank persistenceGLOBAL CHANGE BIOLOGY, Issue 10 2009MARK K. J. OOI Abstract In order to predict the long-term consequences of climate change, it is necessary to link future environmental changes to mechanisms that control plant population processes. This information can then be incorporated into strategies to more accurately model climate change impacts on species or to estimate future extinction risks. We examined the impact of increased temperatures on the longevity and dynamics of the persistent soil seed banks of eight ephemeral species from arid Australia. We found that the predicted global temperature increases under climate change will be reflected in increased soil temperatures, and that seeds in the soil seed bank will be exposed to long durations of high temperatures over the summer months. Three of the eight species studied had significantly greater levels of germination after exposure to predicted increased soil temperatures. Another species displayed a dramatic decrease in seed viability after such exposure. The capacity of such species to use the seed bank to bet hedge against rainfall events that cause germination but are insufficient to allow plant maturation, is compromised by increased germinability and subsequent loss or reduction of seed bank persistence. These predicted changes in the dynamics of soil seed banks increase the risk of local extinctions of these species, while the composition of the community may be altered by changes in species abundance. Our results show that the risk spreading mechanism provided by persistent seed banks could be compromised by the mechanistic impact of forecast temperature increases in arid habitats, and highlight the need to understand mechanisms that control population dynamics when attempting to address likely future impacts of climate change on biodiversity. [source] The Retreat of Deposit Dollarization,INTERNATIONAL FINANCE, Issue 3 2008Patrick Honohan After growing rapidly during the 1990s, the scale of deposit dollarization has slowed or even reversed since 2001. This paper employs an expanded cross-country data set on the share of bank deposits denominated in foreign currency. It documents the break in trend and seeks to explain this apparent reversal in this aspect of global financial integration. Valuation changes related to dollar weakness from 2002 do not seem to be the cause. But lower inflation in many countries has reduced the attractions of foreign currency as a hedge. Also, the Argentine crisis of 2001,02 may have heightened investor awareness of the risk of forced conversion of foreign currency deposits. A return to higher inflation and fading memories of forced conversions could lead to a resumption in the growth of deposit dollarization, with the banking risks that this can entail. [source] A robust approach to the UAV task assignment problemINTERNATIONAL JOURNAL OF ROBUST AND NONLINEAR CONTROL, Issue 2 2008Mehdi Alighanbari Abstract This paper presents a new robust approach to the task assignment of unmanned aerial vehicles (UAVs) operating in uncertain dynamic environments for which the optimization data, such as target cost and target,UAV distances, are time varying and uncertain. The impact of this uncertainty in the data is mitigated by tightly integrating two approaches for improving the robustness of the assignment algorithm. One approach is to design task assignment plans that are robust to the uncertainty in the data, which reduces the sensitivity to errors in the situational awareness (SA), but can be overly conservative for long duration plans. A second approach is to replan as the SA is updated, which results in the best plan given the current information, but can lead to a churning type of instability if the updates are performed too rapidly. The strategy proposed in this paper combines robust planning with the techniques developed to eliminate churning. This combination results in the robust filter-embedded task assignment algorithm that uses both proactive techniques that hedge against the uncertainty, and reactive approaches that limit churning behavior by the vehicles. Numerous simulations are shown to demonstrate the performance benefits of this new algorithm. Copyright © 2007 John Wiley & Sons, Ltd. [source] Optimal Hedging Ratios for Wheat and Barley at the LIFFE: A GARCH ApproachJOURNAL OF AGRICULTURAL ECONOMICS, Issue 2 2000P. J. Dawson Over 100,000 futures contracts for cereals are traded annually on the London International Financial Futures Exchange. The proportion of the spot position held as futures contracts - the hedging ratio - is critical to traders and traditional estimates, using OLS, are constant over time. In this paper, we estimate time-varying hedging ratios for wheat and barley contracts using a multivariate generalised autoregressive conditional heteroscedasticity (GARCH) model. Results indicate that GARCH hedging ratios do change through time. Moreover, risk using the GARCH hedge is reduced significantly by around 4 per cent for wheat and 2 per cent for barley relative to the no hedge position, and significantly by around 0.2 per cent relative to the constant hedge. The optimal, expected utility-maximising, and the risk-minimising hedging ratios are equivalent. [source] Monetary Policy and the Stock Market: Theory and Empirical EvidenceJOURNAL OF ECONOMIC SURVEYS, Issue 4 2001Peter Sellin This paper gives a comprehensive review of the literature on the interaction between real stock returns, inflation, and money growth, with a special emphasis on the role of monetary policy. This is an area of research that has interested monetary and financial economists for a long time. Monetary economists have been interested in the question whether money has any effect on real stock prices, while financial economists have investigated whether equity is a good hedge against inflation. Empirical studies show that money can be helpful in predicting future stock returns. Empirical evidence also suggest that equity is not a good hedge against inflation in the short run but may be so in the long run. The short-run negative relation between stock returns and inflation can easily be explained by theoretical models. If the central bank conducts a countercyclical monetary policy this will result in a negative relation between inflation and stock returns, while if it conducts a procyclical policy we could observe a positive relation. According to both theoretical and empirical studies investors receive an inflation risk premium for holding equity. [source] OPTIMAL CONTINUOUS-TIME HEDGING WITH LEPTOKURTIC RETURNSMATHEMATICAL FINANCE, Issue 2 2007We examine the behavior of optimal mean,variance hedging strategies at high rebalancing frequencies in a model where stock prices follow a discretely sampled exponential Lévy process and one hedges a European call option to maturity. Using elementary methods we show that all the attributes of a discretely rebalanced optimal hedge, i.e., the mean value, the hedge ratio, and the expected squared hedging error, converge pointwise in the state space as the rebalancing interval goes to zero. The limiting formulae represent 1-D and 2-D generalized Fourier transforms, which can be evaluated much faster than backward recursion schemes, with the same degree of accuracy. In the special case of a compound Poisson process we demonstrate that the convergence results hold true if instead of using an infinitely divisible distribution from the outset one models log returns by multinomial approximations thereof. This result represents an important extension of Cox, Ross, and Rubinstein to markets with leptokurtic returns. [source] Robust Hedging of Barrier OptionsMATHEMATICAL FINANCE, Issue 3 2001Haydyn Brown This article considers the pricing and hedging of barrier options in a market in which call options are liquidly traded and can be used as hedging instruments. This use of call options means that market preferences and beliefs about the future behavior of the underlying assets are in some sense incorporated into the hedge and do not need to be specified exogenously. Thus we are able to find prices for exotic derivatives which are independent of any model for the underlying asset. For example we do not need to assume that the underlying assets follow an exponential Brownian motion. We find model-independent upper and lower bounds on the prices of knock-in and knock-out puts and calls. If the market prices the barrier options outside these limits then we give simple strategies for generating profits at zero risk. Examples illustrate that the bounds we give can be fairly tight. [source] Budgeting during a Recession Phase of the Business Cycle: The Georgia ExperiencePUBLIC BUDGETING AND FINANCE, Issue 2 2003Thomas P. Lauth This article describes the impact of the nation-wide recession on Georgia revenue and spending decisions in the 2002 and 2003 fiscal years. The state's strong economy and conservative revenue estimating practices historically provided a hedge against revenue shortfalls during a recession phase of the business cycle. However, when state revenue collections for FY 2002 were 5 percent less than collections for the prior fiscal year, several gap-closing measures became necessary, including state agency spending reductions and substitution of bond proceeds for tax revenues. These revenue and expenditure gap-closing measures were intended to enable the governor to achieve his policy initiatives while maintaining a balanced budget. The state's Rainy Day Fund remained full and was held in reserve for budget balancing in FY 2004, if necessary. Budget balancing during the current recession has been made possible by the state's practice of not overcommitting to program increases and tax cuts during the expansion phase of the business cycle, and by effectively framing the issue of fiscal restraint. [source] Household Interest Rate Risk ManagementREAL ESTATE ECONOMICS, Issue 3 2010Otto Van Hemert I investigate household interest rate risk management by solving a life-cycle asset allocation model that includes mortgage and bond portfolio choice. I find that most investors prefer an adjustable-rate mortgage and thereby save on the bond risk premium that is contained in fixed-rate mortgage payments. Only older, risk-averse investors hold some fixed-rate mortgage debt. Together with a position in short-term bonds this enables them to hedge against changes in the real interest rate, while the inflation exposure of the debt and bond positions cancel out. Hedging house price changes with bonds only occurs at the end of the life cycle. Early in the life cycle short-sale constraints prevent an effective hedge. [source] Yet Another View on Why a Home Is One's CastleREAL ESTATE ECONOMICS, Issue 1 2009Fuad Hasanov We compute equity-based real after-tax rates of return for homeowners and landlords in the United States for 1952,2005. The study confirms that a combined aggregate for residential housing provides a high average net return and low volatility, has low correlation with financial assets and can provide hedge against inflation. The efficient frontier analysis shows that the optimal portfolio for a household with a coefficient of relative risk aversion of four to five is one which contains a bit larger amount of housing than stocks, close to what one observes in the real world. [source] Commercial Real Estate Valuation, Development and Occupancy Under Leasing UncertaintyREAL ESTATE ECONOMICS, Issue 1 2007Richard Buttimer A model of commercial property valuation is developed where individual property owners are price takers and tenants randomly arrive and depart. Spot lease and tenant reservation prices are stochastic and correlated and can divert from but eventually revert back to market equilibrium. Within this framework we examine built property values and vacancy rates for varying parameter sets representing differing markets and economic conditions. We also examine how potential and existing vacancies, spot lease prices and tenant reservation prices feed back into development decisions. We demonstrate how preleasing acts as a hedge to the developer against the risk of leasing uncertainty. [source] House Prices and InflationREAL ESTATE ECONOMICS, Issue 1 2002Ali Anari The present paper examines the long-run impact of inflation on homeowner equity by investigating the relationship between house prices and the prices of nonhousing goods and services, rather than return series and inflation rates as in previous empirical studies on the inflation hedging ability of real estate. There are two reasons for this methodological departure from prior practice: (1) while the total return on housing cannot be accurately measured, the total return on housing is fully reflected in housing prices, and (2) given that using returns or differencing a time series leads to a loss of long-run information contained in the series, valuable long-run information can be captured by using prices. Also, unlike previous related studies, we exclude housing costs from goods and services prices to avoid potential bias in estimating how inflation affects housing prices. Monthly data series are collected for existing and for new house prices as well as the consumer price index excluding housing costs for the period 1968,2000. Based on both autoregressive distributed lag (ARDL) models and recursive regressions, the empirical results yield estimated Fisher coefficients that are consistently greater than one over the sample period. Thus, we infer that house prices are a stable inflation hedge in the long run. [source] Financial Constraints, Competition, and Hedging in Industry EquilibriumTHE JOURNAL OF FINANCE, Issue 5 2007TIM ADAM ABSTRACT We analyze the hedging decisions of firms, within an equilibrium setting that allows us to examine how a firm's hedging choice depends on the hedging choices of its competitors. Within this equilibrium some firms hedge while others do not, even though all firms are ex ante identical. The fraction of firms that hedge depends on industry characteristics, such as the number of firms in the industry, the elasticity of demand, and the convexity of production costs. Consistent with prior empirical findings, the model predicts that there is more heterogeneity in the decision to hedge in the most competitive industries. [source] Minimum variance cross hedging under mean-reverting spreads, stochastic convenience yields, and jumps: Application to the airline industryTHE JOURNAL OF FUTURES MARKETS, Issue 8 2009Mark Bertus Exchange traded futures contracts often are not written on the specific asset that is a source of risk to a firm. The firm may attempt to manage this risk using futures contracts written on a related asset. This cross hedge exposes the firm to a new risk, the spread between the asset underlying the futures contract and the asset that the firm wants to hedge. Using the specific case of the airline industry as motivation, we derive the minimum variance cross hedge assuming a two-factor diffusion model for the underlying asset and a stochastic, mean-reverting spread. The result is a time-varying hedge ratio that can be applied to any hedging horizon. We also consider the effect of jumps in the underlying asset. We use simulations and empirical tests of crude oil, jet fuel cross hedges to demonstrate the hedging effectiveness of the model. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:736,756, 2009 [source] An analysis of the failed municipal bond and note futures contractsTHE JOURNAL OF FUTURES MARKETS, Issue 7 2008Patrick J. CusatisArticle first published online: 2 MAY 200 This study analyzes the failure of the municipal bond and municipal note futures contracts. The municipal bond contract is shown to have been the most effective hedge in the municipal market over its tenure. Changes in volume in the municipal bond contract were closely related to changes in the volume in the U.S. Treasury bond futures contract, the spot,municipal-over-bonds (MOB) ratio, and visible supply. The failure of the municipal bond contract is mainly attributed to a decrease in trading volume in the U.S. Treasury futures market. This was impacted by the onset of electronic trading, which the municipal futures market was reluctant to embrace. The municipal note contract was a less effective hedge than U.S. Treasury note futures and ten-year London Interbank Offered Rate swaps. The failure of the municipal note futures contract is attributed to the existence of well-established alternative hedges, and segmentation in the municipal market. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:656,679, 2008 [source] A comment on "A hedging deficiency in eurodollar futures"THE JOURNAL OF FUTURES MARKETS, Issue 2 2007Ira G. Kawaller Professor Chance's analysis shows that hedge results from eurodollar futures are imperfect; and he credits the futures contract design as being the source of the error. This comment argues that the unanticipated outcomes that Professor Chance evidences stem not from the design of the contract, but rather from improperly sizing hedge transactions. If appropriately sized hedges are used, perfect hedge outcomes in fact, will follow. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:187,193, 2007 [source] An empirical analysis of multi-period hedges: Applications to commercial and investment assetsTHE JOURNAL OF FUTURES MARKETS, Issue 6 2005Jimmy E. Hilliard This study measures the performance of stacked hedge techniques with applications to investment assets and to commercial commodities. The naive stacked hedge is evaluated along with three other versions of the stacked hedge, including those which use exponential and minimum variance ratios. Three commercial commodities (heating oil, light crude oil, and unleaded gasoline) and three investment assets (British Pounds, Deutsche Marks, and Swiss Francs) are examined. The evidence suggests that stacked hedges perform better with investment assets than with commercial commodities. Specifically, deviations from the cost-of-carry model result in nontrivial hedge errors in the stacked hedge. Exponential and minimum variance hedge ratios were found to marginally improve the hedging performance of the stack. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:587,606, 2005 [source] Net buying pressure, volatility smile, and abnormal profit of Hang Seng Index optionsTHE JOURNAL OF FUTURES MARKETS, Issue 12 2004Kam C. Chan We use the net buying pressure hypothesis of N. P. B. Bollen and R. Whaley (2004) to examine the implied volatilities, options premiums, and options trading profits at various time-intervals across five different moneyness categories of Hong Kong Hang Seng Index (HSI) options. The results show that the hypothesis can well describe the newly developed Hong Kong index options markets. The abnormal trading profits by selling out-of-the-money puts with delta hedge are statistically and economically significant across all options maturities. The findings are robust with or without outlier adjustment. Moreover, we provide two insights about the hypothesis. First, net buying pressure is attributed to hedging activities. Second, the net buying pressure on calls is much weaker than that on put options. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:1165,1194, 2004 [source] Conditional OLS minimum variance hedge ratiosTHE JOURNAL OF FUTURES MARKETS, Issue 10 2004Joëlle Miffre The paper presents a new methodology to estimate time dependent minimum variance hedge ratios. The so-called conditional OLS hedge ratio modifies the static OLS approach to incorporate conditioning information. The ability of the conditional OLS hedge ratio to minimize the risk of a hedged portfolio is compared to conventional static and dynamic approaches, such as the naďve hedge, the roll-over OLS hedge, and the bivariate GARCH(1,1) model. The paper concludes that, both in-sample and out-of-sample, the conditional OLS hedge ratio reduces the basis risk of an equity portfolio better than the alternatives conventionally used in risk management. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:945,964, 2004 [source] | ||||||||||||||||||||||||||||||||||