Bertus, Mark; Godbey, Jonathan; Hilliard, Jimmy E. - In: Journal of Futures Markets 29 (2009) 8, pp. 736-756
Exchange traded futures contracts often are not written on the specific asset that is a source of risk to a firm. The firm may attempt to manage this risk using futures contracts written on a related asset. This cross hedge exposes the firm to a new risk, the spread between the asset underlying...