Hostname: page-component-848d4c4894-cjp7w Total loading time: 0 Render date: 2024-07-05T00:53:56.988Z Has data issue: false hasContentIssue false
  • English
  • Français

A Risk-Return Measure of Hedging Effectiveness: A Comment

Published online by Cambridge University Press:  06 April 2009

Jack S. K. Chang  and
Latha Shanker
Get access Rights & Permissions [Opens in a new window]

Abstract

This paper points out an error and implications of the error in the model of hedging effectiveness proposed by Howard and D'Antonio (1). The error would lead to ambiguous results if the model were used in practical applications to select the best hedging instrument. This paper proposes a new measure of hedging effectiveness that eliminates the error in the original model and resolves the ambiguity.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 22 , Issue 3 , September 1987 , pp. 373 - 376
Copyright
Copyright © School of Business Administration, University of Washington 1987

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

[1]Howard, C. T., and D'Antonio, L. J.. “A Risk-Return Measure of Hedging Effectiveness.” Journal of Financial and Quantitative Analysis, 19 (03 1984), 101–112.CrossRefGoogle Scholar