Risk aversion is a key element of utility maximizing hedge strategies; however, it has typically been assigned an arbitrary value in the literature. This paper instead applies a GARCH-in-Mean (GARCH-M) model to estimate a time-varying measure of risk aversion that is based on the observed risk...

Risk aversion is a key element of utility maximizing hedge strategies; however, it hastypically been assigned an arbitrary value in the literature. This paper instead applies a GARCH-in-Mean (GARCH-M) model to estimate a time-varying measure of riskaversion that is based on the observed risk...

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. The metrics used include Lower Partial Moments (LPM), Value at Risk...

The benefits of openness to trade are well established, but the disadvantages of openness are less well understood. At the firm level trade is the principal source of exposure to exchange rate movements, and exchange exposure can be moderated by a range of hedging techniques. In this paper we...

This study examines systematic patterns in returns reported by hedge funds for the period from 1989 to 2003. Two patterns are examined: strategic changes in returns variance in the second half of the year and the avoidance of reporting small losses.The hedge fund industry has grown rapidly...

Historical estimates of productivity growth in India's cement sector vary from indicating an improvement to a decline in the sector's productivity. The variance may be traced to the time period of study, source of data for analysis, and type of indices and econometric specifications used for...

The US electric utility industry is undergoing a period of fundamental change that has significant implications for Native American tribes. Although many details remain to be determined, the future electric power industry will be very different from that of the present. It is anticipated that...

This report analyzes developments in the electric utility industry using the tools of transaction cost economics. During the last thirty years, the tools of economic analysis have been substantially expanded--notably, Oliver Williamson, building on the insights of Coase and others, has made...

The electric power industry in the United States is undergoing a slow but nonetheless dramatic transformation. It is a transformation driven by technology, economics, and politics; one that will move the industry from its traditional mode of centralized system operations and regulated rates...