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Dynamic Hedging, Expected Returns and Factor Timing

Kiefer, Patrick Christian - 2018

The asset pricing Euler equation identifies latent components of time-varying expected returns when conditioned on a Markov state. Using data from the Fama and French three- and five- factor models and momentum (UMD), we show a single statistic constructed from the latent expected return...

Persistent link: https://www.econbiz.de/10012931495

Beta instability and implications for hedging systematic risk : takeaways from the COVID-19 crisis

Dor, Arik Ben; Florig, Stephan; Guan, Jingling; Zeng, … - In: The journal of portfolio management : JPM 47 (2021) 6, pp. 139-155

Persistent link: https://www.econbiz.de/10012517348

Adding alternative assets : return enhancement, diversification or hedging?

Scherer, Bernd - In: The journal of asset management : a major new, … 22 (2021) 6, pp. 437-442

Persistent link: https://www.econbiz.de/10012659815

Empirical analysis of oil risk-minimizing portfolios : the DCC-GARCH-MODWT approach

Zivkov, Dejan; Njegic, Jovan; Zakic, Vladimir - In: Journal of risk 22 (2019/2020) 3, pp. 65-91

Persistent link: https://www.econbiz.de/10013177146

Risk-adjusted valuation for real option decisions

Alexander, Carol; Chen, Xi; Ward, Charles W. R. - In: Journal of economic behavior & organization : JEBO 191 (2021), pp. 1046-1064

Persistent link: https://www.econbiz.de/10013186689

Can unpredictable risk exposure be priced?

Barahona, Ricardo; Driessen, Joost; Frehen, Rik - In: Journal of financial economics 139 (2021) 2, pp. 522-544

Persistent link: https://www.econbiz.de/10012693684

Time consistent vs. time inconsistent dynamic asset allocation : some utility cost calculations for mean variance preferences

Lioui, Abraham - In: Journal of economic dynamics & control 37 (2013) 5, pp. 1066-1096

Persistent link: https://www.econbiz.de/10009738267

Consumption hedging and home-country bias in a model of international capital market equilibrium

Schnabel, Jacques A. - In: Studies in economics and finance 29 (2012) 1, pp. 4-10

Persistent link: https://www.econbiz.de/10009541734

Exchange rate risk pricing by US equity for US industrial portfolios

Raihan, Mahfuz - In: International journal of economics and finance 5 (2013) 11, pp. 13-21

Persistent link: https://www.econbiz.de/10010213399

Corporate Hedging, Investment, and Higher Moments of Stock Returns

Doshi, Hitesh; Kumar, Praveen; Zurita, Virgilio - 2021

that cash-flow hedging and capital investment by firms affects their future stock return distribution. Hedging by firms … investment counteracts these effects. Using hand-collected hedging data from energy-related firms, we find empirical results … consistent with the theoretical predictions. The pull-to-normality effect of hedging is stronger among firms with small size …

Persistent link: https://www.econbiz.de/10013312219