Dahlgran, Roger A.; Ma, Xudong - Department of Agricultural and Consumer Economics, … - 2008
This study focuses on hedging effectiveness defined as the proportionate price risk reduction created by hedging. By … mathematical and simulation analysis we determine the following: (a) the regression R2 in the hedge ratio regression will generally … overstate the amount of price risk reduction that can be achieved by hedging, (b) the properly computed hedging effectiveness in …