The Effectiveness of Rolling the Hedge Forward in the Treasury Bill Futures Market

McCabe, George M.; Franckle, Charles T.

doi:10.2307/3665206

Cited by 17 publications

(6 citation statements)

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“…price changes are used, among others, by Ederington (1979), Franckle (1980), Dale (1981), and Grammatikos and Saunders (1983). Other researchers, such as McCabe and Franckle (1983), Hammer (1988), use percentage changes or natural logarithm of prices. Some tests using percentage price changes were conducted (not reported here) which do not change the results.…”

Section: Dickey and Fuller Tests Of Random Walkmentioning

confidence: 99%

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Tests of random walk of hedge ratios and measures of hedging effectiveness for stock indexes and foreign currencies

Malliaris¹,

Urrutia²

1991

Journal of Futures Markets

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Section: Dickey and Fuller Tests Of Random Walkmentioning

confidence: 99%

“…Other researchers, such as McCabe and Franckle (1983), Hammer (1988), use percentage changes or natural logarithm of prices. Some tests using percentage price changes were conducted (not reported here) which do not change the results.…”

Section: Dickey and Fuller Tests Of Random Walkmentioning

confidence: 99%

Tests of random walk of hedge ratios and measures of hedging effectiveness for stock indexes and foreign currencies

Malliaris¹,

Urrutia²

1991

Journal of Futures Markets

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“…On November 30, the securities had still not been issued, so the December contract short position would be covered and a new short position would be opened in the March contract. The consequences of this switch, called "rolling the hedge forward," have been examined by McCabe and Franckle (1983) who found that it is still a very effective strategy. Our empirical results will reflect whatever gains or losses are incurred by the roll-over.…”

Section: B the Methodologymentioning

confidence: 99%

“…Two tests are used. The first is an ex post test similar to several past studies (Ederington, 1979, McCabe and Franckle, 1983 determines an optimal hedge ratio and a measure of hedging effectiveness. Our test, however, differs because we use cross-sectional rather than time series data, and we account for differences in rating, issue size, maturity, and hedge duration.…”

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confidence: 99%

Hedging shelf registrations

Chance

Marr

Thompson

1986

Journal of Futures Markets

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helf registration for primary securities (Rule 415) began in March 1982 and S was permanently adopted by the Securities and Exchange Commission for large firms in November 1983.' Rule 415 allows a company to register all of the securities it plans to issue over the next two years and then to sell some or all of the securities whenever it desires. The rule thus simplifies the registration of new securities and allows more flexibility in the way they are sold. ' When an eligible firm decides to raise new capital, it registers the securities under Rule 415. Once the registration is declared effective, the firm can issue the securities almost instantly at any time over the next two years. If the securities are not issued by the end of the two year period, it pays a fee to have them "deregistered." To date, however, no shelf-registered securities have remained on the shelf during the entire two year period following registration. Under the new shelf registration plan, a firm can register securities and immediately issue them. The firm need not specify the coupon, maturity, or likely issue date on the registration form. At any time during the upcoming two year period, it can issue any or all of the amount registered. The advantages appear to be related to the flexibility of modifying the issue at no cost. Another important benefit of shelf registration is that the issuer increases the liklihood of finding the highest price an underwriter would pay. This effect results because once the securities are registered, the information is made public, and thus more closely approximates a competitive environment than does the traditional underwritten offering.A recent study by Kidwell, Marr, and Thompson (1984) revealed that bond issues offered under shelf registration sell for 30 to 40 basis points less than comparable negotiated sales and about 26 basis points less than competitive bid issues. The and medium size firms were excluded.

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“…Additional structure on the utility function and the data generation processes must be imposed to obtain explicit solutions. Earlier studies on rollover hedging include Baesel and Grant (1982), McCabe and Franckle (1983), Grant (1984), and Gardner (1989). In these studies, the mean-variance approach is adopted.…”

mentioning

confidence: 99%

Some Recent Developments in Futures Hedging

Lien

Tse

2002

Journal of Economic Surveys

165

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The use of futures contracts as a hedging instrument has been the focus of much research. At the theoretical level, an optimal hedge strategy is traditionally based on the expected-utility maximization paradigm. A simplification of this paradigm leads to the minimum-variance criterion. Although this paradigm is quite well accepted, alternative approaches have been sought. At the empirical level, research on futures hedging has benefited from the recent developments in the econometrics literature. Much research has been done on improving the estimation of the optimal hedge ratio. As more is known about the statistical properties of financial time series, more sophisticated estimation methods are proposed. In this survey we review some recent developments in futures hedging. We delineate the theoretical underpinning of various methods and discuss the econometric implementation of the methods.

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The Effectiveness of Rolling the Hedge Forward in the Treasury Bill Futures Market

Cited by 17 publications

References 0 publications

Tests of random walk of hedge ratios and measures of hedging effectiveness for stock indexes and foreign currencies

Tests of random walk of hedge ratios and measures of hedging effectiveness for stock indexes and foreign currencies

Hedging shelf registrations

Some Recent Developments in Futures Hedging

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