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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
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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
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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
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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
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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
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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
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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
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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
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Synthetic leverage and fund risk-taking
Fricke, Daniel - 2021
Mutual fund risk-taking via active portfolio rebalancing varies both in the cross-section and over time. In this paper, I show that the same is true for funds' off- balance sheet risk-taking, even after controlling for on-balance sheet activities. For this purpose, I propose a novel measure of...
Persistent link: https://www.econbiz.de/10012489580
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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