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A Risk-Return Measure of Hedging Effectiveness: A Reply

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  • Howard, Charles T.
  • D'Antonio, Louis J.

Abstract

In this reply, we point out that Chang and Shankar's measure of hedging performance, which they label HE1, is not an adequate measure. We describe an alternative measure, labeled HBS, which has a number of desirable ex ante and ex post statistical properties.

Suggested Citation

  • Howard, Charles T. & D'Antonio, Louis J., 1987. "A Risk-Return Measure of Hedging Effectiveness: A Reply," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(3), pages 377-381, September.
    • Handle: RePEc:cup:jfinqa:v:22:y:1987:i:03:p:377-381_01
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    Cited by:

    1. Lioui, Abraham, 1998. "Currency risk hedging: Futures vs. forward," Journal of Banking & Finance, Elsevier, vol. 22(1), pages 61-81, January.
    2. de Jong, A. & de Roon, F.A. & Veld, C.H., 1995. "An empirical analysis of the hedging effectiveness of currency futures," Discussion Paper 1995-119, Tilburg University, Center for Economic Research.
    3. Darren Butterworth & Phil Holmes, 2001. "The hedging effectiveness of stock index futures: evidence for the FTSE-100 and FTSE-mid250 indexes traded in the UK," Applied Financial Economics, Taylor & Francis Journals, vol. 11(1), pages 57-68.
    4. Barbi, Massimiliano & Romagnoli, Silvia, 2018. "Skewness, basis risk, and optimal futures demand," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 14-29.
    5. Jules Sadefo Kamdem & Zoulkiflou Moumouni, 2020. "Comparison of Some Static Hedging Models of Agricultural Commodities Price Uncertainty," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 18(3), pages 631-655, September.
    6. Zoulkiflou Moumouni & Jules Sadefo-Kamdem, 2019. "New models of commodity risk hedging according to the behavior of economic decision-makers or Rollover Strategies," Working Papers hal-02417459, HAL.
    7. Scott McCarthy, 2003. "Hedging versus not hedging: strategies for managing foreign exchange transaction exposure," School of Economics and Finance Discussion Papers and Working Papers Series 162, School of Economics and Finance, Queensland University of Technology.
    8. Christian Dunis & Pierre Lequeux, 2000. "Intraday data and hedging efficiency in interest spread trading," The European Journal of Finance, Taylor & Francis Journals, vol. 6(4), pages 332-352.
    9. Christos Floros & Dimitrios Vougas, 2004. "Hedge ratios in Greek stock index futures market," Applied Financial Economics, Taylor & Francis Journals, vol. 14(15), pages 1125-1136.

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