Cotter, John; Hanly, Jim(University College Dublin. School of Business. Centre for Financial Markets, 2007)
We examine whether hedging effectiveness is affected by asymmetry in the return distribution by applying tail specific metrics to compare the hedging effectiveness of short and long hedgers
using crude oil futures contracts. ...
Mixed results have been documented for the performance of hedging strategies with the use of futures. This article reinvestigates this issue with the use of an extensive set of performance-evaluation metrics across seven ...
Cotter, John; Hanly, Jim(University College Dublin. School of Business. Centre for Financial Markets, 2005)
We examine whether hedging effectiveness is affected by asymmetry in the return distribution by applying tail specific metrics to compare the hedging effectiveness of short and long hedgers using crude oil futures contracts. ...