Leistikow, Dean; Chen, Ren-Raw - In: Journal of Risk and Financial Management 12 (2019) 2, pp. 1-17
This paper tests whether the traditional futures hedge ratio (hT) and the carry cost rate futures hedge ratio (hc) vary in accordance with the Sercu and Wu (2000) and Leistikow et al. (2019) "hc" theory. It does so, both within and across high and low spot asset carry cost rate (c) regimes. The...