Ederington, L.H. (1979) "The Hedging Performance o f the New Futures Ma rkets," The Journal o f Finance, (March), Vol. 34 No. 1, pp. 157-170.  Home/Search   Document Not in Database   Summary   Related Articles

....Sullivan for helpful comments and discussions and Edward Newman for data assistance on earlier versions of this paper. Remaining errors are the responsib ility of the author. Current Version: February 1998 1 A few of the pioneer empirica l studies which employed the regr ession procedur e are Ederington ( 1979), Figlewski (1985) Hegde (1982) Hill and Schneeweis (1982) a nd Kuberek and P efley (1983) Early dur ation stu dies include Gay, Kolb and Chiang (1983) and Landes, Stoffels and Seifert (1985) 1 COMPARING HEDGE RATIO METHODOLOGIES FOR FIXED INCOME INVESTMENTS ABSTRACT Regression and ....

....bond, while neither model is consistently superior for the two year T note series. Moreover, both of these methods generally have smaller variances of errors than the naive 1 1 and the naive maturity hedge procedures. II. REGRESSION AND DURATION MODELS A. The M inimum Variance Hedge Ra tio Ederington (1979) and Johnson (1960) employ portfolio theory to derive the minimum variance hedge ratio (HR)as the average relationship between the changes in the cash price and the changes in the futures price which minimizes the net price change risk, where net price change risk is measured by the variance of ....

Ederington, L.H. (1979) "The Hedging Performance o f the New Futures Ma rkets," The Journal o f Finance, (March), Vol. 34 No. 1, pp. 157-170.

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