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Incorporating Basis Expectation into Hedging Effectiveness Measures

Author

Listed:
  • Tumblin, Alan D.
  • Hauser, Robert J.
  • Garcia, Philip

Abstract

It is suggested that, if the traditional portfolio approach to measuring hedging effectiveness is used, the underlying ex-ante basisexpectation model be specified explicitly. An empirical example comparing the proposed method to a traditional method for soybean hedges during 1966-83 is presented.

Suggested Citation

  • Tumblin, Alan D. & Hauser, Robert J. & Garcia, Philip, 1986. "Incorporating Basis Expectation into Hedging Effectiveness Measures," 1986 Annual Meeting, July 27-30, Reno, Nevada 278171, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    • Handle: RePEc:ags:aaea86:278171
    DOI: 10.22004/ag.econ.278171
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    File URL: https://ageconsearch.umn.edu/record/278171/files/aaea-1986-111.pdf
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    References listed on IDEAS

    as
    1. Leland L. Johnson, 1960. "The Theory of Hedging and Speculation in Commodity Futures," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 27(3), pages 139-151.
    2. Heifner, Richard G., 1972. "Optimal Hedging Levels and Hedging Effectiveness in Cattle Feeding," Journal of Agricultural Economics Research, United States Department of Agriculture, Economic Research Service, vol. 24(02), pages 1-14, April.
    3. 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.
    4. Anne E. Peck, 1975. "Hedging and Income Stability: Concepts, Implications, and an Example," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 57(3), pages 410-419.
    5. Gray, Roger W. & Rutledge, David J.S., 1971. "The Economics of Commodity Futures Markets: A Survey," Review of Marketing and Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 39(04), pages 1-52, December.
    Full references (including those not matched with items on IDEAS)

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