By means of a difference-in-differences approach (sigma-DID), we investigate the effect that hedging has on corporate … risk. Examining the relation between hedging and the idiosyncratic variance of stock returns, we show that when new …

Using the generalized extreme value theory to characterize tail distributions, we address liqui- dation, leverage, and …

Since the collapse of the Metallgesellschaft AG due to hedging losses in 1993, energy practitioners have been concerned … hedging long-dated futures and options with their short-dated counterparts, we find that the long-term tracking errors are, on …

) mathematical approach, even beyond the original and explicit hedging approaches utilized in the two seminal papers. Yet that …

This article develops a Hedging Algebraic Model (HAM) for equity index portfolios with stock index futures as an … models used to date for the calculation of the optimal hedging ratio do not include the effect of discrete dividend payouts … presented here as an alternative approach to econometrics models yields superior results, both in hedging efficacy and in the …

We present a model for developing hedging strategies using both futures and forward contracts and issuing risky debt. A … contracts into hedging and increase its value higher than that when hedging with only futures contracts. We show numerically … that hedging with both futures and forward contracts allows the firm to issue minimal risky debt in increasing its firm …