Multinationals and futures hedging under liquidity constraints
نویسندگان
چکیده
منابع مشابه
Liquidity and hedging effectiveness under futures mispricing: international evidence
We analyze the hedging effectiveness of positions that replicate stock indexes using corresponding futures contracts through the application of a dynamic, stochastic hedging strategy proposed by Lafuente and Novales (2003). Conclusive gains do not emerge in any of the markets analyzed over the period considered, relative to the use of a constant unit hedge ratio. These findings are consistent w...
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ژورنال
عنوان ژورنال: Global Finance Journal
سال: 2005
ISSN: 1044-0283
DOI: 10.1016/j.gfj.2005.05.008