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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 …. A state-dependent volatility spillover GARCH hedging strategy is developed to capture the regime switching global equity … hedging stock sector exposures compared with the TAIEX and Taiwan 50 futures. Simultaneous hedge using both NFNE and MSCI …

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

Hedge funds and the positive idiosyncratic volatility effect

Bali, Turan G.; Weigert, Florian - 2021 - This version: December 2020

-like payoffs. They also trade derivatives in a way to profit from the positive volatility effect. …

Persistent link: https://www.econbiz.de/10012416051

Have hedge funds solved the idiosyncratic volatility puzzle?

Bali, Turan G.; Weigert, Florian - 2018

derivatives in a way to profit from the positive volatility effect …

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

Investment strategy in Brazil's financial market : wide possibilities of choice between risk and return

Feijó, Ricardo - In: International journal of economics and finance 12 (2020) 8, pp. 40-51

Persistent link: https://www.econbiz.de/10012425900

Derivatives, short selling and US equity and bond mutual funds

Dezfouli, Kaveh Moradi; Kryzanowski, Lawrence - In: The quarterly journal of finance 6 (2016) 1, pp. 1-44

Persistent link: https://www.econbiz.de/10011452388

Jump, diffusion, and long-term volatility risks with incremental information in VIX assets

Chen, Sonnan; Gu, Yuchi - In: The journal of derivatives : JOD 28 (2021) 3, pp. 60-96

Persistent link: https://www.econbiz.de/10012486031

Bond mutual funds and complex investments

Natter, Markus; Rohleder, Martin; Schulte, Dominik; … - In: The journal of asset management 18 (2017) 6, pp. 433-456

Persistent link: https://www.econbiz.de/10011844388

Shedding light on the exposure of mutual funds : Which investments drive mutual fund characteristics?

Benz, Lukas; Rohleder, Martin; Syryca, Janik; Wilkens, Marco - In: The journal of asset management 20 (2019) 7, pp. 534-551

Persistent link: https://www.econbiz.de/10012155319

Negative correlation between stock and futures returns : an unexploited hedging opportunity?

Basu, Parantap; Gavin, William T. - In: Bulletin of economic research 69 (2017) 3, pp. 209-215

Persistent link: https://www.econbiz.de/10011743228

Lending to lose : Who buys negatively yielding bonds and what it means for investors

Bhansali, Vineer - In: Journal of investment management : JOIM 19 (2021) 1, pp. 62-75

Persistent link: https://www.econbiz.de/10012814363

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