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Commodity futures hedging, risk aversion and the hedging horizon
16 references·6 citing·44 second hop
Commodity futures hedging, risk aversion and the hedging horizon (2015)Commodity futures hedging, risk aversion …An Introduction to Wavelets and Other Filtering Methods in Finance and Economics (2002)An Introduction to Wavelets a…The Use of Foreign Currency Derivatives and Firm Market Value (2001)The Use of Foreign Currency D…Exchange rate exposure, hedging, and the use of foreign currency derivatives (2001)Exchange rate exposure, hedgi…Investing for the Long Run when Returns Are Predictable (2000)Investing for the Long Run wh…Measuring Business Cycles: Approximate Band-Pass Filters for Economic Time Series (1999)Measuring Business Cycles: Ap…The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)The Stochastic Behavior of Co…Postwar U.S. Business Cycles: An Empirical Investigation (1997)Postwar U.S. Business Cycles:…Who Manages Risk? An Empirical Examination of Risk Management Practices in the Gold Mining Industry (1996)Who Manages Risk? An Empirica…RETHINKING RISK MANAGEMENT (1996)RETHINKING RISK MANAGEMENTTime-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993)Time-Varying Distributions an…On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results (1991)On the Sensitivity of Mean-Va…The equity premium: A puzzle (1985)The equity premium: A puzzleOptimal Hedging Policies (1984)Optimal Hedging PoliciesThe Hedging Performance of the New Futures Markets (1979)The Hedging Performance of th…Risk Aversion in the Small and in the Large (1976)Risk Aversion in the Small an…Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…Stock market comovements among Asian emerging economies: A wavelet-based approach (2020)Stock market comovements amon…Global financial crisis and multiscale systematic risk: Evidence from selected European stock markets (2019)Global financial crisis and m…Long-Run Wavelet-Based Correlation for Financial Time Series (2018)Long-Run Wavelet-Based Correl…Does corporate hedging enhance shareholder value? A meta-analysis (2018)Does corporate hedging enhanc…Is gold a hedge against inflation? A wavelet time-scale perspective (2017)Is gold a hedge against infla…Gold, Oil, and Stocks: Dynamic Correlations (2015)Gold, Oil, and Stocks: Dynami…The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Macroeconomics and Reality (1980)The Band Pass Filter (1999)On Adjusting the Hodrick-Prescott Filter for the Frequency of Observations (2002)Measuring Uncertainty (2015)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)Modeling Asymmetric Comovements of Asset Returns (1998)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Financial contagion during COVID–19 crisis (2020)Limited-dependent and qualitative variables in econometrics (1983)The Determinants of Firms' Hedging Policies (1985)Managerial discretion and optimal financing policies (1990)Agency Costs, Risk Management, and Capital Structure (1998)The sensitivity of CEO wealth to equity risk: an analysis of the magnitude and determinants (1999)Founding family ownership and the agency cost of debt (2003)An equilibrium characterization of the term structure (1977)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange (2002)What do we learn from the price of crude oil futures? (2010)The Fundamentals of Commodity Futures Returns (2012)An Intertemporal Capital Asset Pricing Model (1973)Asset Prices in an Exchange Economy (1978)Time to Build and Aggregate Fluctuations (1982)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Business conditions and expected returns on stocks and bonds (1989)Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)Strategic Asset Allocation (2002)The Dog That Did Not Bark: A Defense of Return Predictability (2007)Bivariate garch estimation of the optimal commodity futures Hedge (1991)Financing Policy, Basis Risk, and Corporate Hedging: Evidence from Oil and Gas Producers (2000)Financial Intermediation and Delegated Monitoring (1984)Prospect theory: An analysis of decision under risk (1988)Well-being : the foundations of hedonic psychology (1999)An Empirical Characterization of the Dynamic Effects of Changes in Government Spending and Taxes on Output (2002)On the measurement of inequality (1970)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The arbitrage theory of capital asset pricing (1976)
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References

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  • 2001Exchange rate exposure, hedging, and the use of foreign currency derivatives

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948 cited
  • 1984Optimal Hedging Policies939 cited
  • Cited by

    • 2015Gold, Oil, and Stocks: Dynamic Correlations139 cited
    • 2017Is gold a hedge against inflation? A wavelet time-scale perspective76 cited
    • 2020Stock market comovements among Asian emerging economies: A wavelet-based approach49 cited
    • 2018Does corporate hedging enhance shareholder value? A meta-analysis39 cited
    • 2018Long-Run Wavelet-Based Correlation for Financial Time Series39 cited
    • 2019Global financial crisis and multiscale systematic risk: Evidence from selected European stock markets27 cited