Futures Hedge Profit Measurement, Error-Correction Model vs Regression Approach Hedge Ratios and Data Error Effects

This study explains why a modified regression method, which calculates hedge profits and hedge ratios using cost-of-carry-adjusted price changes, provides greater accuracy than the unadjusted regression method. It shows that the modified regression method and the error-correction model lead to similar hedging performance unless there are significant data errors.

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Year of publication:	1999
Authors:	Ferguson, Robert ; Leistikow, Dean
Published in:	Financial Management. - Financial Management Association - FMA. - Vol. 28.1999, 4
Publisher:	Financial Management Association - FMA

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005823841