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Cross hedging stock sector risk with index futures by considering the global equity systematic risk

Hsu, Wen Chung; Lee, Hsiang-Tai - In: International Journal of Financial Studies : open … 6 (2018) 2, pp. 1-17

nonelectronics subindex (NFNE) futures for cross hedging the price risk of stock sector indices traded on the Taiwan stock exchange … hedging strategy using only the NFNE futures. This shows the importance of hedging the global equity systematic risk of stock …. A state-dependent volatility spillover GARCH hedging strategy is developed to capture the regime switching global equity …

Persistent link: https://www.econbiz.de/10011883272

Have hedge funds solved the idiosyncratic volatility puzzle?

Bali, Turan G.; Weigert, Florian - 2018

While it is established that idiosyncratic volatility has a negative impact on the cross-section of future stock returns, the relationship between idiosyncratic volatility and future hedge fund returns is largely unexplored. We document that hedge funds with high idiosyncratic volatility...

Persistent link: https://www.econbiz.de/10011993511

Role of hedging on crypto returns predictability : a new habit-based explanation

Dunbar, Kwamie; Owusu-Amoako, Johnson - In: Finance research letters 55 (2023) 2, pp. 1-10

Persistent link: https://www.econbiz.de/10014473553

Hedge fund performance using scaled Sharpe and Treynor measures

Van Dyk, François; Van Vuuren, Gary; Heymans, André - In: International business and economics research journal 13 (2014) 6, pp. 1261-1300

Persistent link: https://www.econbiz.de/10011279837

Hedge fund performance evaluation using the Sharpe and Omega ratios

Van Dyk, François; Van Vuuren, Gary; Heymans, André - In: International business and economics research journal 13 (2014) 3, pp. 485-512

Persistent link: https://www.econbiz.de/10010370229

Comoment risk and stock returns

Lambert, M.; Hübner, G. - In: Journal of empirical finance 23 (2013), pp. 191-205

Persistent link: https://www.econbiz.de/10010221739

Could stock hedge Bitcoin risk(s) and vice versa?

Okorie, David Iheke - In: Digital finance : smart data analytics, investment … 2 (2020) 1/2, pp. 117-136

Persistent link: https://www.econbiz.de/10012284952

Hedge funds risk and connectedness

Manicaro, Christian; Falzon, Joseph - In: The journal of asset management 18 (2017) 4, pp. 295-316

Persistent link: https://www.econbiz.de/10011741590

Unequal returns : using the Atkinson index to measure financial risk

Fischer, Thomas; Lundtofte, Frederik - In: Journal of banking & finance 116 (2020), pp. 1-19

Persistent link: https://www.econbiz.de/10012489204

Stock market spillovers of global risks and hedging opportunities

Salachas, Evangelos; Kouretas, Georgios P.; Laopodis, … - In: European journal of political economy 83 (2024), pp. 1-19

Persistent link: https://www.econbiz.de/10014547146

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