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- W1986241794 abstract "We provide an analytical discussion of the optimal hedge ratio under discrepancies between the futures market price and its theoretical valuation according to the cost-of-carry model. Assuming a geometric Brownian motion for spot prices, we model mispricing as a specific noise component in the dynamics of futures market prices. Empirical evidence on the model is provided for the Spanish stock index futures. Ex-ante simulations with actual data reveal that hedge ratios that take into account the estimated, time varying, correlation between the common and specific disturbances, lead to using a lower number of futures contracts than under a systematic unit ratio, without generally losing hedging effectiveness, while reducing transaction costs and capital requirements. Besides, the reduction in the number of contracts can be substantial over some periods. Finally, a mean–variance expected utility function suggests that the economic benefits from an optimal hedge can be substantial." @default.
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- W1986241794 date "2003-06-01" @default.
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- W1986241794 title "Optimal hedging under departures from the cost-of-carry valuation: Evidence from the Spanish stock index futures market" @default.
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- W1986241794 doi "https://doi.org/10.1016/s0378-4266(02)00245-5" @default.
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