In this paper we study a risk-minimizing hedge ratio with futures contracts, where the risk of the hedged portfolio is measured through a spectral risk measure, thus incorporating the degree of agent's risk aversion. We empirically estimate the optimal hedge ratio using a long time series of UK...

In this paper we study a risk-minimizing hedge ratio with futures contracts, where the risk of the hedged portfolio is computed using a spectral risk measure, thus incorporating the degree of agent's risk aversion. We empirically estimate the optimal hedge ratio using a long time series of UK...

We propose a maximum-expected utility hedging model with futures where cash and futures returns follow a bivariate skew-normal distribution, such to consider the effect of skewness on the optimal futures demand. Relative to the benchmark of bivariate normality, skewness has a material impact...

We propose a maximum-expected utility hedging model with futures where cash and futures returns follow a bivariate skew-normal distribution, such to consider the effect of skewness on the optimal futures demand. Relative to the benchmark of bivariate normality, skewness has a material impact...

The over-allotment option usually complements an IPO to meet any excess demand and provides underwriters with an incentive to stabilize stock prices in the aftermarket. This clause represents an additional source of compensation to the investment bank, in exchange of some uncertain positive...

Since the seminal work of Ingersoll (1977b) the puzzle concerning the delay of convertible bond calls has seemingly been solved. Several studies have put forward a number of possible reasons to explain the apparent delay: dividend dilution, the risk of financial distress following a failed...

Since the seminal work of Ingersoll (1977b) the optimal time in which a firm should redeem its outstanding convertible bonds has received large attention by the financial literature. Several studies have put forward a number of possible costs and benefits for a firm if it interrupts the life of...

The exercise of a warrant leads to the well-known dilution phenomenon, whose effects have been extensively studied over the last four decades. In contrast, the existing literature has paid inadequate attention to the volatility spillover between stockholders and warrant holders. This...