A Reformulation of the Portfolio Model of Hedging
The portfolio approach to hedging assumes that the primary motivation for hedging is risk reduction. The paper reexamines the portfolio approach to hedging and respecifies the model in such a way that hedge ratios are estimated using returns rather than price levels. Using the same data set, hedge r...
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| Veröffentlicht in: | American journal of agricultural economics 1985-08, Vol.67 (3), p.508-512 |
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| Format: | Artikel |
| Sprache: | eng |
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| container_end_page | 512 |
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| container_issue | 3 |
| container_start_page | 508 |
| container_title | American journal of agricultural economics |
| container_volume | 67 |
| creator | Brown, Stewart L. |
| description | The portfolio approach to hedging assumes that the primary motivation for hedging is risk reduction. The paper reexamines the portfolio approach to hedging and respecifies the model in such a way that hedge ratios are estimated using returns rather than price levels. Using the same data set, hedge ratios estimated using price levels differ from one while hedge ratios using returns are found to be insignificantly different from one. The results do not support the portfolio approach to hedging. Therefore, one must look elsewhere for empirical support for the risk-reduction theory of hedging. |
| doi_str_mv | 10.2307/1241069 |
| format | Article |
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The paper reexamines the portfolio approach to hedging and respecifies the model in such a way that hedge ratios are estimated using returns rather than price levels. Using the same data set, hedge ratios estimated using price levels differ from one while hedge ratios using returns are found to be insignificantly different from one. The results do not support the portfolio approach to hedging. Therefore, one must look elsewhere for empirical support for the risk-reduction theory of hedging.</description><subject>Cash</subject><subject>Commodities</subject><subject>Commodity futures</subject><subject>Financial portfolios</subject><subject>Futures markets</subject><subject>Hedging</subject><subject>Investment risk</subject><subject>portfolio model</subject><subject>Price changes</subject><subject>Price levels</subject><subject>risk reduction</subject><subject>Soybeans</subject><issn>0002-9092</issn><issn>1467-8276</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>1985</creationdate><recordtype>article</recordtype><recordid>eNp1j01LAzEQhoMoWKv4BzzszdPqZJJNNsel1Fat-IFC8RLSbVK3bhtJVrT_3pYt7cnTMPM878BLyDmFK2QgrylyCkIdkA7lQqY5SnFIOgCAqQKFx-Qkxvl6BaryDqFF8mKdD4vv2jSVXybeJc2HTZ58aJyvK588-KmtN-ehnc6q5eyUHDlTR3u2nV3ydtN_7Q3T0ePgtleM0pJzpVIhzJQqFEKViiKiwRyEsTIXjnEBGWaTieAWASFzoCRnRlqTKUUhK6kB1iWX7d8y-BiDdforVAsTVpqC3jTV26ZrE1rzp6rt6j9NF3dFfx-5aCPz2Piwj-xw2uIqNvZ3h0341EIymenh-F0zqsbPcnyvR-wPHRpocA</recordid><startdate>198508</startdate><enddate>198508</enddate><creator>Brown, Stewart L.</creator><general>Oxford University Press</general><general>American Agricultural Economics Association</general><scope>BSCLL</scope><scope>AAYXX</scope><scope>CITATION</scope></search><sort><creationdate>198508</creationdate><title>A Reformulation of the Portfolio Model of Hedging</title><author>Brown, Stewart L.</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c4499-66ad192669c91222a2806ae786f3460525bb64e20205f09743a7ea599105c1a03</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>1985</creationdate><topic>Cash</topic><topic>Commodities</topic><topic>Commodity futures</topic><topic>Financial portfolios</topic><topic>Futures markets</topic><topic>Hedging</topic><topic>Investment risk</topic><topic>portfolio model</topic><topic>Price changes</topic><topic>Price levels</topic><topic>risk reduction</topic><topic>Soybeans</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Brown, Stewart L.</creatorcontrib><collection>Istex</collection><collection>CrossRef</collection><jtitle>American journal of agricultural economics</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Brown, Stewart L.</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>A Reformulation of the Portfolio Model of Hedging</atitle><jtitle>American journal of agricultural economics</jtitle><addtitle>American Journal of Agricultural Economics</addtitle><date>1985-08</date><risdate>1985</risdate><volume>67</volume><issue>3</issue><spage>508</spage><epage>512</epage><pages>508-512</pages><issn>0002-9092</issn><eissn>1467-8276</eissn><abstract>The portfolio approach to hedging assumes that the primary motivation for hedging is risk reduction. The paper reexamines the portfolio approach to hedging and respecifies the model in such a way that hedge ratios are estimated using returns rather than price levels. Using the same data set, hedge ratios estimated using price levels differ from one while hedge ratios using returns are found to be insignificantly different from one. The results do not support the portfolio approach to hedging. Therefore, one must look elsewhere for empirical support for the risk-reduction theory of hedging.</abstract><pub>Oxford University Press</pub><doi>10.2307/1241069</doi><tpages>5</tpages></addata></record> |
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| ispartof | American journal of agricultural economics, 1985-08, Vol.67 (3), p.508-512 |
| issn | 0002-9092 1467-8276 |
| language | eng |
| recordid | cdi_crossref_primary_10_2307_1241069 |
| source | Oxford University Press Journals Digital Archive Legacy; EBSCOhost Business Source Complete; Jstor Complete Legacy; EZB-FREE-00999 freely available EZB journals |
| subjects | Cash Commodities Commodity futures Financial portfolios Futures markets Hedging Investment risk portfolio model Price changes Price levels risk reduction Soybeans |
| title | A Reformulation of the Portfolio Model of Hedging |
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