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Derivative usage by non‐financial firms in Sweden 1996 and 2003: what has changed?

Alkebäck, Per; Hagelin, Niclas; Pramborg, Bengt - In: Managerial Finance 32 (2006) 2, pp. 101-114

for hedging the balance sheet among Swedish firms in 2003 is higher than for other countries but lower than for Swedish …

Persistent link: https://www.econbiz.de/10014939847

The use of options in corporate risk management

Bartram, Söhnke M. - In: Managerial Finance 32 (2006) 2, pp. 160-181

Purpose – This paper investigates the motivations and practice of nonfinancial firms with regard to using options in their risk management activities. Design/methodology/approach – The paper provides a comprehensive account of the existing empirical evidence and analyzes data on the use of...

Persistent link: https://www.econbiz.de/10014939850

Using weather derivatives to hedge precipitation exposure

Leggio, Karyl B. - In: Managerial Finance 33 (2007) 4, pp. 246-252

Purpose – The purpose of this study is to demonstrate the use of weather derivatives to hedge firm exposure to previously unmanageable risk events caused by natural phenomenon such as excessive rainfall. Design/methodology/approach – The paper adopts a case study approach to meet the...

Persistent link: https://www.econbiz.de/10014939920

Designing natural gas utility hedge programs with call options

Cita, John; Kwak, Soojong; Lien, Donald - In: Managerial Finance 33 (2007) 4, pp. 253-269

Purpose – To evaluate various hedge programs designed to minimize the risk of an extreme monthly gas bill subject to a pre‐determined hedge program budget. Design/methodology/approach – Historical data were collected on natural gas spot and futures prices. Also, theoretical options prices...

Persistent link: https://www.econbiz.de/10014939921

Pricing multicallable range accruals with the Libor Market Model

Chalamandaris, George - In: Managerial Finance 33 (2007) 5, pp. 292-308

Purpose – The paper aims to propose a consistent and robust pricing/hedging methodology for callable fixed income … robust pricing/hedging methodology for callable fixed income structures with embedded caplet‐linked options. Practical … Hull‐White trees inadequate for the task of consistent pricing and hedging. Therefore, care must be taken to ensure …

Persistent link: https://www.econbiz.de/10014939924

The exchange rate exposure puzzle

Bartram, Söhnke M.; Bodnar, Gordon M. - In: Managerial Finance 33 (2007) 9, pp. 642-666

nonfinancial firms. A simple model of exposure elasticity is also used to demonstrate the substantial impact of operational hedging … previous research has suggested, but is simply the result of the endogeneity of operative and financial hedging at the firm … level. Given that empirical tests estimate exchange exposures net of corporate hedging, both firms with low gross exposures …

Persistent link: https://www.econbiz.de/10014939945

Hedging the exchange rate risk in international portfolio diversification

Maurer, Raimond; Valiani, Shohreh - In: Managerial Finance 33 (2007) 9, pp. 667-692

exposure risk. In this regard, several hedging strategies are evaluated and compared with one another. Design … hedge tools brings a much more diversified selection of stock and bond markets than no hedging strategy. The optimal option … optimal forward hedging. In the out‐of‐sample study, the optimally forward‐hedged strategy generally presents a much better …

Persistent link: https://www.econbiz.de/10014939946

Identifying the non‐normality premium of an investment

Hood, Matthew; Nofsinger, John R.; Small, Kenneth - In: Managerial Finance 35 (2009) 4, pp. 385-403

Purpose – The purpose of this paper is to introduce a non‐normality premium (NNP) to identify the extra return that will compensate an investor for a non‐normal return distribution. The NNP quantifies the economic significance of non‐normality to complement a statistical significance...

Persistent link: https://www.econbiz.de/10014940045

Pricing and net profit of operating lease

Moretto, Enrico; Tagliavini, Giulio - In: Managerial Finance 35 (2009) 10, pp. 828-840

Purpose – The purpose of this paper is to investigate how asset risk (i.e. the risk that the value of the leased asset loses unexpectedly most of its value at the end of the contract) is measured and hedged. Design/methodology/approach – The evaluation of the lease contract is achieved by...

Persistent link: https://www.econbiz.de/10014940071

Market timing and the determinants of performance of sector funds over the business cycle

Kaushik, Abhay; Pennathur, Anita; Barnhart, Scott - In: Managerial Finance 36 (2010) 7, pp. 583-602

develop hedging strategies especially when the economy is going through recession. Originality/value – This paper covers the …

Persistent link: https://www.econbiz.de/10014940119