TREASURY BILL FUTURES AS A HEDGING TOOL: A RISK‐RETURN APPROACH

The primary purpose of this study is to measure the hedging performance of Treasury Bill Futures on a risk‐return basis. A theoretical model is presented and hedging effectiveness is tested using T‐Bill cash and futures data. Successful hedging depends critically upon the ability to determine the op...

Ausführliche Beschreibung

Gespeichert in:

Bibliographische Detailangaben
Veröffentlicht in:	The Journal of financial research 1986, Vol.9 (1), p.25-39
Hauptverfasser:	Howard, Charles T., D'Antonio, Louis J.
Format:	Artikel
Sprache:	eng
Schlagworte:	Financial futures Futures Hedging Returns Risk Securities analysis Statistical analysis Studies Theory Treasury bills
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!

container_end_page	39
container_issue	1
container_start_page	25
container_title	The Journal of financial research
container_volume	9
creator	Howard, Charles T. D'Antonio, Louis J.
description	The primary purpose of this study is to measure the hedging performance of Treasury Bill Futures on a risk‐return basis. A theoretical model is presented and hedging effectiveness is tested using T‐Bill cash and futures data. Successful hedging depends critically upon the ability to determine the optimal hedge ratio. The results also indicate that the traditional one‐to‐one hedge outperforms the more sophisticated hedge ratio models; however, even here the risk‐return benefits of hedging are minimal.
doi_str_mv	10.1111/j.1475-6803.1986.tb00433.x
format	Article
fullrecord	<record><control><sourceid>proquest_cross</sourceid><recordid>TN_cdi_proquest_journals_215745554</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><sourcerecordid>1166676</sourcerecordid><originalsourceid>FETCH-LOGICAL-c4103-a21e23f3d0ddd0f54e6d1d13714224022bd986c00b54ecada05d05c1d34f39443</originalsourceid><addsrcrecordid>eNqVkM9OwkAQxjdGExF9h4Z76-w_CtxWLKXaULJtD542bbdNaFCwhQg3H8Fn9EncCvHuZJOZzXzfzO4PoQEGB5u4rx3MXG4PR0AdPB4NnV0OwCh1Dheo99e6RD0gLtiEj8k1umnbGgAwd3kPiUR6Ik7li_UQhKE1S5NUerElzLHm3qMfLHwriaJwYu4yiJ-_P7-kZzQLSyyXMhLT-S26qrJ1W96dcx-lMy-Zzu0w8oOpCO2CYaB2RnBJaEU1aK2h4qwcaqwxdTEjhAEhuTbvLwBy0yoynQHXwAusKavomDHaR4PT3G2zed-X7U7Vm33zZlYqYv7COOedaHISFc2mbZuyUttm9Zo1R4VBdcRUrTosqsOiOmLqTEwdjFmczB-rdXn8h1M9zQL5W9Mf6jxthw</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype><pqid>215745554</pqid></control><display><type>article</type><title>TREASURY BILL FUTURES AS A HEDGING TOOL: A RISK‐RETURN APPROACH</title><source>Business Source Complete</source><creator>Howard, Charles T. ; D'Antonio, Louis J.</creator><creatorcontrib>Howard, Charles T. ; D'Antonio, Louis J.</creatorcontrib><description>The primary purpose of this study is to measure the hedging performance of Treasury Bill Futures on a risk‐return basis. A theoretical model is presented and hedging effectiveness is tested using T‐Bill cash and futures data. Successful hedging depends critically upon the ability to determine the optimal hedge ratio. The results also indicate that the traditional one‐to‐one hedge outperforms the more sophisticated hedge ratio models; however, even here the risk‐return benefits of hedging are minimal.</description><identifier>ISSN: 0270-2592</identifier><identifier>EISSN: 1475-6803</identifier><identifier>DOI: 10.1111/j.1475-6803.1986.tb00433.x</identifier><language>eng</language><publisher>Columbia: Wiley Subscription Services, Inc</publisher><subject>Financial futures ; Futures ; Hedging ; Returns ; Risk ; Securities analysis ; Statistical analysis ; Studies ; Theory ; Treasury bills</subject><ispartof>The Journal of financial research, 1986, Vol.9 (1), p.25-39</ispartof><rights>The Southern Finance Association and the Southwestern Finance Association</rights><rights>Copyright Journal of Financial Research Spring 1986</rights><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c4103-a21e23f3d0ddd0f54e6d1d13714224022bd986c00b54ecada05d05c1d34f39443</citedby><cites>FETCH-LOGICAL-c4103-a21e23f3d0ddd0f54e6d1d13714224022bd986c00b54ecada05d05c1d34f39443</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><link.rule.ids>314,780,784,27922,27923</link.rule.ids></links><search><creatorcontrib>Howard, Charles T.</creatorcontrib><creatorcontrib>D'Antonio, Louis J.</creatorcontrib><title>TREASURY BILL FUTURES AS A HEDGING TOOL: A RISK‐RETURN APPROACH</title><title>The Journal of financial research</title><description>The primary purpose of this study is to measure the hedging performance of Treasury Bill Futures on a risk‐return basis. A theoretical model is presented and hedging effectiveness is tested using T‐Bill cash and futures data. Successful hedging depends critically upon the ability to determine the optimal hedge ratio. The results also indicate that the traditional one‐to‐one hedge outperforms the more sophisticated hedge ratio models; however, even here the risk‐return benefits of hedging are minimal.</description><subject>Financial futures</subject><subject>Futures</subject><subject>Hedging</subject><subject>Returns</subject><subject>Risk</subject><subject>Securities analysis</subject><subject>Statistical analysis</subject><subject>Studies</subject><subject>Theory</subject><subject>Treasury bills</subject><issn>0270-2592</issn><issn>1475-6803</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>1986</creationdate><recordtype>article</recordtype><recordid>eNqVkM9OwkAQxjdGExF9h4Z76-w_CtxWLKXaULJtD542bbdNaFCwhQg3H8Fn9EncCvHuZJOZzXzfzO4PoQEGB5u4rx3MXG4PR0AdPB4NnV0OwCh1Dheo99e6RD0gLtiEj8k1umnbGgAwd3kPiUR6Ik7li_UQhKE1S5NUerElzLHm3qMfLHwriaJwYu4yiJ-_P7-kZzQLSyyXMhLT-S26qrJ1W96dcx-lMy-Zzu0w8oOpCO2CYaB2RnBJaEU1aK2h4qwcaqwxdTEjhAEhuTbvLwBy0yoynQHXwAusKavomDHaR4PT3G2zed-X7U7Vm33zZlYqYv7COOedaHISFc2mbZuyUttm9Zo1R4VBdcRUrTosqsOiOmLqTEwdjFmczB-rdXn8h1M9zQL5W9Mf6jxthw</recordid><startdate>1986</startdate><enddate>1986</enddate><creator>Howard, Charles T.</creator><creator>D'Antonio, Louis J.</creator><general>Wiley Subscription Services, Inc</general><scope>AAYXX</scope><scope>CITATION</scope></search><sort><creationdate>1986</creationdate><title>TREASURY BILL FUTURES AS A HEDGING TOOL: A RISK‐RETURN APPROACH</title><author>Howard, Charles T. ; D'Antonio, Louis J.</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c4103-a21e23f3d0ddd0f54e6d1d13714224022bd986c00b54ecada05d05c1d34f39443</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>1986</creationdate><topic>Financial futures</topic><topic>Futures</topic><topic>Hedging</topic><topic>Returns</topic><topic>Risk</topic><topic>Securities analysis</topic><topic>Statistical analysis</topic><topic>Studies</topic><topic>Theory</topic><topic>Treasury bills</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Howard, Charles T.</creatorcontrib><creatorcontrib>D'Antonio, Louis J.</creatorcontrib><collection>CrossRef</collection><jtitle>The Journal of financial research</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Howard, Charles T.</au><au>D'Antonio, Louis J.</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>TREASURY BILL FUTURES AS A HEDGING TOOL: A RISK‐RETURN APPROACH</atitle><jtitle>The Journal of financial research</jtitle><date>1986</date><risdate>1986</risdate><volume>9</volume><issue>1</issue><spage>25</spage><epage>39</epage><pages>25-39</pages><issn>0270-2592</issn><eissn>1475-6803</eissn><abstract>The primary purpose of this study is to measure the hedging performance of Treasury Bill Futures on a risk‐return basis. A theoretical model is presented and hedging effectiveness is tested using T‐Bill cash and futures data. Successful hedging depends critically upon the ability to determine the optimal hedge ratio. The results also indicate that the traditional one‐to‐one hedge outperforms the more sophisticated hedge ratio models; however, even here the risk‐return benefits of hedging are minimal.</abstract><cop>Columbia</cop><pub>Wiley Subscription Services, Inc</pub><doi>10.1111/j.1475-6803.1986.tb00433.x</doi><tpages>15</tpages></addata></record>
fulltext	fulltext
identifier	ISSN: 0270-2592
ispartof	The Journal of financial research, 1986, Vol.9 (1), p.25-39
issn	0270-2592 1475-6803
language	eng
recordid	cdi_proquest_journals_215745554
source	Business Source Complete
subjects	Financial futures Futures Hedging Returns Risk Securities analysis Statistical analysis Studies Theory Treasury bills
title	TREASURY BILL FUTURES AS A HEDGING TOOL: A RISK‐RETURN APPROACH
url	https://sfx.bib-bvb.de/sfx_tum?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2025-01-09T15%3A07%3A47IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-proquest_cross&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=TREASURY%20BILL%20FUTURES%20AS%20A%20HEDGING%20TOOL:%20A%20RISK%E2%80%90RETURN%20APPROACH&rft.jtitle=The%20Journal%20of%20financial%20research&rft.au=Howard,%20Charles%20T.&rft.date=1986&rft.volume=9&rft.issue=1&rft.spage=25&rft.epage=39&rft.pages=25-39&rft.issn=0270-2592&rft.eissn=1475-6803&rft_id=info:doi/10.1111/j.1475-6803.1986.tb00433.x&rft_dat=%3Cproquest_cross%3E1166676%3C/proquest_cross%3E%3Curl%3E%3C/url%3E&disable_directlink=true&sfx.directlink=off&sfx.report_link=0&rft_id=info:oai/&rft_pqid=215745554&rft_id=info:pmid/&rfr_iscdi=true