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dc.contributor.author Cotter, John
dc.contributor.author Hanly, Jim
dc.date.accessioned 2009-05-27T11:51:07Z
dc.date.available 2009-05-27T11:51:07Z
dc.date.copyright Centre for Financial Markets, 2005 en
dc.date.issued 2005-07-24
dc.identifier.uri http://hdl.handle.net/10197/1144
dc.description.abstract Mixed results have been documented for the performance of hedging strategies using futures. This paper reinvestigates this issue using an extensive set of performance evaluation metrics across seven international markets. We compare the hedging performance of short and long hedgers using traditional variance based approaches together with modern risk management techniques including Value at Risk, Conditional Value at Risk and approaches based on Downside Risk. Our findings indicate that using these metrics to evaluate hedging performance, yields differences in terms of best hedging strategy as compared with the traditional variance measure. We also find significant differences in performance between short and long hedgers. These results are observed both in-sample and out-of-sample. en
dc.description.sponsorship University College Dublin. Faculty of Commerce en
dc.format.extent 191541 bytes
dc.format.mimetype application/pdf
dc.language.iso en en
dc.publisher University College Dublin. School of Business. Centre for Financial Markets en
dc.relation.ispartofseries Centre for Financial Markets working paper series en
dc.relation.ispartofseries WP-05-03 en
dc.subject Hedging performance en
dc.subject Lower partial movements en
dc.subject Downside risk en
dc.subject Variance en
dc.subject Semi-variance en
dc.subject Value at risk en
dc.subject Conditional value at risk en
dc.subject.classification G10 en
dc.subject.classification G12 en
dc.subject.classification G15 en
dc.subject.lcsh Hedging (Finance)--Evaluation en
dc.subject.lcsh Financial futures--Evaluation en
dc.subject.lcsh Risk--Econometric models en
dc.subject.lcsh Analysis of variance en
dc.title Re-evaluating hedging performance en
dc.type Working Paper en
dc.internal.authorid UCD0043
dc.internal.availability Full text available en
dc.internal.webversions Publisher's version en
dc.internal.webversions http://www.ucd.ie/bankingfinance/docs/wp/cotter%20hanly%202005.PDF en
dc.status Not peer reviewed en
dc.neeo.contributor Cotter|John|aut|UCD0043
dc.neeo.contributor Hanly|Jim|aut|


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