Reevaluating hedging performance

被引:47
作者
Cotter, John [1 ]
Hanly, Jim
机构
[1] Univ Coll Dublin, Dept Banking & Finance, Ctr Financial Markets, Dublin 2, Ireland
[2] Dublin Inst Technol, Sch Accounting, Dublin 8, Ireland
关键词
D O I
10.1002/fut.20212
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
Mixed results have been documented for the performance of hedging. strategies with the use of features. This article reinvestigates this issue with the use of an extensive set of performance-evaluation metrics across seven international markets. The hedging performances of short and long hedgers are compared with the use of traditional variance-based approaches together with modern risk-management techniques, including value at risk, conditional value at risk, and approaches based on downside risk. The findings indicate that use of these metrics to evaluate hedging performance yields differences in terms of best hedging strategy as compared with the traditional variance measure. Also, significant differences in performance between short and long hedgers are found. These results are observed both in sample and out of Sample. (c) 2006 Wiley Periodicals, Inc.
引用
收藏
页码:677 / 702
页数:26
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