Spot Asset Carry Cost Rates And Futures Hedge Ratios

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Spot Asset Carry Cost Rates and Futures Hedge Ratios

Author : Dean Leistikow
Publisher :
ISBN 13 :
Total Pages : 24 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Spot Asset Carry Cost Rates and Futures Hedge Ratios by : Dean Leistikow

Download or read book Spot Asset Carry Cost Rates and Futures Hedge Ratios written by Dean Leistikow and published by . This book was released on 2019 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: The traditional futures hedge ratio (hT) is calculated ex post via economically structureless statistical analysis. Its lack of an economic foundation makes it inefficient and elevates its risk of error due to a regime shift. This paper proposes an ex ante, more efficient, carry cost rate (c) based hedge ratio (hc). While the paper shows that hc is biased, it demonstrates that c underlies both hT and hc, such that hT/hc is stationary. Consequently, a prior period's hT/hc ratio, even if from the distant past, or a different c regime, works well as an ex ante bias adjustment multiplier for the current hc to mitigate its bias. Finally, it shows that the hedge effectiveness for both hc and the bias-adjusted version of hc exceed that for hT, though the excess hedge effectiveness of hc over hT is not always statistically significant.

Carry Costs and Futures Hedge Calculations

Author : Robert Ferguson
Publisher :
ISBN 13 :
Total Pages : 34 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Carry Costs and Futures Hedge Calculations by : Robert Ferguson

Download or read book Carry Costs and Futures Hedge Calculations written by Robert Ferguson and published by . This book was released on 2016 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper calculates carry costs directly and focuses on the effect that carry cost lumpiness has on hedge variables. It shows that carry cost adjusted price changes should be used to reduce errors in the calculated hedge: ratio, profit, and effectiveness. Results demonstrate that the errors can be both statistically and economically significant and tend to be more significant if the asset's carry costs are lumpier (that is, larger and less frequent). We study the traditional regression (TR), carry cost adjusted regression (CCAR), and error correction (EC) hedge ratio calculation approaches. Unlike the CCAR method, the TR and EC approaches err by using the spot price change to represent spot profit. When the payout dates are included in the analysis, the CCAR in-sample hedge effectiveness is statistically significantly higher than it is for the TR and EC approaches. Furthermore, when payout dates are excluded, their hedge effectiveness results converge toward those for the CCAR method. The CCAR approach provides out-of-sample hedge effectiveness that is higher than that for either of the other approaches. Additionally, the (in-sample to out-of-sample) hedge effectiveness slippage is about half as much for the TR and CCAR approaches as it is for the EC approach. Finally, though the hedge ratios are similar across methods, the hedge profits of the assets studied are significantly mismeasured because the TR and EC methods ignore carry costs.

Dynamic Asset Allocation with Forwards and Futures

Author : Abraham Lioui
Publisher : Springer Science & Business Media
ISBN 13 : 038724106X
Total Pages : 268 pages
Book Rating : 4.3/5 (872 download)

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Book Synopsis Dynamic Asset Allocation with Forwards and Futures by : Abraham Lioui

Download or read book Dynamic Asset Allocation with Forwards and Futures written by Abraham Lioui and published by Springer Science & Business Media. This book was released on 2005-12-06 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is an advanced text on the theory of forward and futures markets which aims at providing readers with a comprehensive knowledge of how prices are established and evolve in time, what optimal strategies one can expect the participants to follow, whether they pertain to arbitrage, speculation or hedging, what characterizes such markets and what major theoretical and practical differences distinguish futures from forward contracts. It should be of interest to students (MBAs majoring in finance with quantitative skills and PhDs in finance and financial economics), academics (both theoreticians and empiricists), practitioners, and regulators. Standard textbooks dealing with forward and futures markets generally focus on the description of the contracts, institutional details, and the effective (as opposed to theoretically optimal) use of these instruments by practitioners. The theoretical analysis is often reduced to the (undoubtedly important) cash-and-carry relationship and the computation of the simple, static, minimum variance hedge ratio. This book proposes an alternative approach of these markets from the perspective of dynamic asset allocation and asset pricing theory within an inter-temporal framework that is in line with what has been done many years ago for options markets.

Hedging Instruments and Risk Management

Author : Patrick Cusatis
Publisher : McGraw Hill Professional
ISBN 13 : 9780071454537
Total Pages : 396 pages
Book Rating : 4.4/5 (545 download)

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Book Synopsis Hedging Instruments and Risk Management by : Patrick Cusatis

Download or read book Hedging Instruments and Risk Management written by Patrick Cusatis and published by McGraw Hill Professional. This book was released on 2005-02-22 with total page 396 pages. Available in PDF, EPUB and Kindle. Book excerpt: Books on complex hedging instruments are often more confusing than the instruments themselves. Hedging Instruments & Risk Management brings clarity to the topic, giving money managers the straightforward knowledge they need to employ hedging tools and techniques in four key markets—equity, currency, fixed income, and mortgage. Using real-world data and examples, this high-level book shows practitioners how to develop a common set of mathematical and statistical tools for hedging in various markets and then outlines several hedging strategies with the historical performance of each.

Hedging a Portfolio with Futures

Author : Marco Scheidler
Publisher : GRIN Verlag
ISBN 13 : 3638656330
Total Pages : 61 pages
Book Rating : 4.6/5 (386 download)

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Book Synopsis Hedging a Portfolio with Futures by : Marco Scheidler

Download or read book Hedging a Portfolio with Futures written by Marco Scheidler and published by GRIN Verlag. This book was released on 2007-06 with total page 61 pages. Available in PDF, EPUB and Kindle. Book excerpt: Seminar paper from the year 2003 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: A, Wright State University (Raj Soin College of Business), 16 entries in the bibliography, language: English, abstract: Abstract Undertaking business always involves taking risk. The future development of a company and their business is more uncertain the higher the risk that the company is facing. Risk management is a important factor in operating business. With the development of future markets entrepreneurs and investors obtained another risk management tool that made it possible to reduce risk. Futures are derivatives that can be used either for speculating or risk management. Especially in the area of financial futures, a rapid growth could be observed during the last few decades. Almost every month a new type of contract appears to meet the needs of a continuously growing corporate and institutional market. This paper considers future contracts as hedging application to reduce price risk. Futures are standardized contracts to buy or sell an asset in the future. There are various types of futures which differ in the type of the underlying asset. Futures are traded at organized exchanges. We consider the trading of future, their requirements, and market participants and their motivation. Different commercial users of future contracts hedge in different ways. A long hedge is used to reduce price risk of an anticipated purchase whereas a short hedge reduces the price risk of an asset that is already held. If there is no exact, the hedgers needs matching, contract available, the hedger should use a cross hedging strategy. With all these strategies the hedger takes, to the asset opposite, a position in the future market that is highly correlated with the change in price of the asset in the spot market. Losses in one market are offset by gains in the other market. For a successful hedge it is essential to choose an appropriate contract an

Advances in Investment Analysis and Portfolio Management (New Series) Vol．6

Author : Cheng F. Lee
Publisher : Center for PBBEFR & Airiti Press
ISBN 13 : 9865792869
Total Pages : pages
Book Rating : 4.8/5 (657 download)

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Book Synopsis Advances in Investment Analysis and Portfolio Management (New Series) Vol．6 by : Cheng F. Lee

Download or read book Advances in Investment Analysis and Portfolio Management (New Series) Vol．6 written by Cheng F. Lee and published by Center for PBBEFR & Airiti Press. This book was released on 2014-01-01 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Advances in Investment Analysis and Portfolio Management (New Series) is an annual publication designed to disseminate developments in the area of investment analysis and portfolio management. The publication is a forum for statistical and quantitative analyses of issues in security analysis, portfolio management, options, futures, and other related issues. The objective is to promote interaction between academic research in finance, economics, and accounting and applied research in the financial community.

The Theory and Practice of Futures Markets

Author : Raymond M. Leuthold
Publisher : Free Press
ISBN 13 :
Total Pages : 440 pages
Book Rating : 4.F/5 ( download)

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Book Synopsis The Theory and Practice of Futures Markets by : Raymond M. Leuthold

Download or read book The Theory and Practice of Futures Markets written by Raymond M. Leuthold and published by Free Press. This book was released on 1989 with total page 440 pages. Available in PDF, EPUB and Kindle. Book excerpt: To find out more about Rowman & Littlefield titles please visit us at www.rowmanlittlefield.com.

An Introduction to Options & Futures

Author : Don M. Chance
Publisher : Chicago : Dryden Press
ISBN 13 :
Total Pages : 632 pages
Book Rating : 4.3/5 ( download)

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Book Synopsis An Introduction to Options & Futures by : Don M. Chance

Download or read book An Introduction to Options & Futures written by Don M. Chance and published by Chicago : Dryden Press. This book was released on 1992 with total page 632 pages. Available in PDF, EPUB and Kindle. Book excerpt:

FINANCIAL DERIVATIVES

Author : S. S. S. KUMAR
Publisher : PHI Learning Pvt. Ltd.
ISBN 13 : 9788120330740
Total Pages : 432 pages
Book Rating : 4.3/5 (37 download)

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Book Synopsis FINANCIAL DERIVATIVES by : S. S. S. KUMAR

Download or read book FINANCIAL DERIVATIVES written by S. S. S. KUMAR and published by PHI Learning Pvt. Ltd.. This book was released on 2007-01-21 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt: Designed as a text for postgraduate students of management, commerce, and financial studies, this compact text clearly explains the subject without the mathematical complexities one comes across in many textbooks. The book deals with derivatives and their pricing, keeping the Indian regulatory and trading environment as the backdrop. What’s more, each product is explained in detail with illustrative examples so as to make it easier for comprehension. The book first introduces the readers to the derivatives market and the quantitative foundations. Then it goes on to give a detailed description of the Forward Agreements, Interest Rate Futures, and Stock Index Futures and Swaps. The text also focuses on Options—Option Pricing, Option Hedging and Option Trading Strategies. It concludes with a discussion on OTC derivatives. KEY FEATURES : The application of each derivative product is illustrated with the help of solved examples. Practice problems are given at the end of each chapter. A detailed glossary, important formulae and major website addresses are included in the book. This book would also be of immense benefit to students pursuing courses in CA, ICWA and CFA.

Futures Markets

Author : Daniel Richard Siegel
Publisher : Harcourt Brace College Publishers
ISBN 13 :
Total Pages : 550 pages
Book Rating : 4.:/5 (89 download)

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Book Synopsis Futures Markets by : Daniel Richard Siegel

Download or read book Futures Markets written by Daniel Richard Siegel and published by Harcourt Brace College Publishers. This book was released on 1990 with total page 550 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Understanding Futures Markets

Author : Robert W. Kolb
Publisher : Prentice Hall
ISBN 13 :
Total Pages : 680 pages
Book Rating : 4.F/5 ( download)

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Book Synopsis Understanding Futures Markets by : Robert W. Kolb

Download or read book Understanding Futures Markets written by Robert W. Kolb and published by Prentice Hall. This book was released on 1991 with total page 680 pages. Available in PDF, EPUB and Kindle. Book excerpt: This comprehensive reference book surveys the broad sweep of futures markets as they exist today. It explains everything from the basic mechanisms of the markets to the factors involved in pricing futures and managing futures portfolios. Current issues in this volatile area are addressed.

Freight Derivatives and Risk Management in Shipping

Author : Manolis G. Kavussanos
Publisher : Taylor & Francis
ISBN 13 : 1000368963
Total Pages : 555 pages
Book Rating : 4.0/5 (3 download)

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Book Synopsis Freight Derivatives and Risk Management in Shipping by : Manolis G. Kavussanos

Download or read book Freight Derivatives and Risk Management in Shipping written by Manolis G. Kavussanos and published by Taylor & Francis. This book was released on 2021-04-29 with total page 555 pages. Available in PDF, EPUB and Kindle. Book excerpt: This advanced practical textbook deals with the issue of risk analysis, measurement and management in the shipping industry. It identifies and analyses the sources of risk in the shipping business and explores in detail the “traditional” and “modern” strategies for risk management at both the investment and operational levels of the business. The special features and characteristics of all available freight derivative products are compared and contrasted between them. Practical applications of derivatives are showcased through realistic practical examples, while a number of concepts across the contents of this book appear for the first time in the literature. The book also serves as “the reference” point for researchers in the area, helping them to enhance their knowledge of risk management and derivatives in the shipping industry, but also to students at both undergraduate and postgraduate levels. Finally, it provides a comprehensive manual for practitioners wishing to engage in the financial risk management of maritime business. This second edition has been fully updated in order to incorporate the numerous developments in the industry since its first edition in 2006. New chapters have been introduced on topics such as Market Risk Measurement, Credit Risk and Credit Derivatives, and Statistical Methods to Quantify Risk. Furthermore, the second edition of this book builds upon the successful first edition which has been extensively (i) taught in a number of Universities around the world and (ii) used by professionals in the industry. Shipowners, professionals in the shipping industry, risk management officers, credit officers, traders, investors, students and researchers will find the book indispensable in order to understand how risk management and hedging tools can make the difference for companies to remain competitive and stay ahead of the rest.

Investment Analysis & Portfolio Management

Author : Frank K. Reilly
Publisher : Cengage AU
ISBN 13 : 0170416038
Total Pages : 1062 pages
Book Rating : 4.1/5 (74 download)

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Book Synopsis Investment Analysis & Portfolio Management by : Frank K. Reilly

Download or read book Investment Analysis & Portfolio Management written by Frank K. Reilly and published by Cengage AU. This book was released on 2019-11-19 with total page 1062 pages. Available in PDF, EPUB and Kindle. Book excerpt: This first Asia-Pacific edition of Reilly/Brown’s Investment Analysis and Portfolio Management builds on the authors’ strong reputations for combining solid theory with practical application and has been developed especially for courses across the Australia, New Zealand, and Asia-Pacific regions. The real-world illustrations and hands-on activities enhance an already rigourous, empirical approach to topics such as investment instruments, capital markets, behavioural finance, hedge funds, and international investment. The text also emphasises how investment practice and theory are influenced by globalisation.

Derivatives

Author : T. V. Somanathan
Publisher : Cambridge University Press
ISBN 13 : 1108416209
Total Pages : 347 pages
Book Rating : 4.1/5 (84 download)

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Book Synopsis Derivatives by : T. V. Somanathan

Download or read book Derivatives written by T. V. Somanathan and published by Cambridge University Press. This book was released on 2018 with total page 347 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive, concise treatment of the subject of derivatives focusing on making essential concepts accessible to wider audiences.

Practical Financial Economics

Author : Austin Murphy
Publisher : Bloomsbury Publishing USA
ISBN 13 : 0313053634
Total Pages : 254 pages
Book Rating : 4.3/5 (13 download)

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Book Synopsis Practical Financial Economics by : Austin Murphy

Download or read book Practical Financial Economics written by Austin Murphy and published by Bloomsbury Publishing USA. This book was released on 2003-11-30 with total page 254 pages. Available in PDF, EPUB and Kindle. Book excerpt: The recent stock market bubble of the late 1990s and subsequent crash has made people more aware of the need to conduct practical financial analysis. Practical financial economics, i.e., the application of financial theory to practical financial analysis, is explained here with respect to a number of different topics, with a focus on valuation. Largely normative (instead of being theoretical, empirical, or descriptive, as most academic work seems to be), yet solidly grounded in theory (instead of being ad hoc, as much purely practitioner work seems to be), this book represents a collection of articles that are designed to have useful implications for both practitioners and academics. Much of the book is focused on the concept of practical valuation of assets, such as individual stocks, the stock market, and foreign currencies. At least partially because one of the most important financial theories, the theory of efficient markets, makes practical valuation analysis virtually useless by assuming the intrinsic value of any asset is determined by its market price, the subject of practical valuation has been largely neglected in academic research. However, the efficient markets theory itself, being based on a general assumption that investors properly value securities by their trading, requires the very practical valuation that a belief in market efficiency makes useless. Within this context, it is not surprising that individual stocks, such as Enron's, and the entire stock market itself, can be effectively mispriced, as this book shows.

Shipping Derivatives and Risk Management

Author : A. Alizadeh
Publisher : Springer
ISBN 13 : 0230235808
Total Pages : 528 pages
Book Rating : 4.2/5 (32 download)

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Book Synopsis Shipping Derivatives and Risk Management by : A. Alizadeh

Download or read book Shipping Derivatives and Risk Management written by A. Alizadeh and published by Springer. This book was released on 2009-04-28 with total page 528 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive book on shipping derivatives and risk management which covers the theoretical and practical aspects of financial risk in shipping. The book provides a thorough overview of the practice of risk management in shipping with the use of theoretical examples and real-life applications.

Stock Index Futures

Author : Charles M.S. Sutcliffe
Publisher : Routledge
ISBN 13 : 1351148540
Total Pages : 844 pages
Book Rating : 4.3/5 (511 download)

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Book Synopsis Stock Index Futures by : Charles M.S. Sutcliffe

Download or read book Stock Index Futures written by Charles M.S. Sutcliffe and published by Routledge. This book was released on 2018-01-18 with total page 844 pages. Available in PDF, EPUB and Kindle. Book excerpt: The global value of trading in index futures is about $20 trillion per year and rising and for many countries the value traded is similar to that traded on their stock markets. This book describes how index futures markets work and clearly summarises the substantial body of international empirical evidence relating to these markets. Using the concepts and tools of finance, the book also provides a comprehensive description of the economic forces that underlie trading in index futures. Stock Index Futures 3/e contains many teaching and learning aids including numerous examples, a glossary, essay questions, comprehensive references, and a detailed subject index. Written primarily for advanced undergraduate and postgraduate students, this text will also be useful to researchers and market participants who want to gain a better understanding of these markets.