Out of sample effectiveness of a joint commodity and currency hedge: The case of soybean meal in Italy

Braga, Francesco S.; Martin, Larry J.

doi:10.1002/fut.3990100303

Cited by 13 publications

(4 citation statements)

References 11 publications

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“…Benet (1990) has employed the OLS method to examine the possibility of cross hedge using commodity futures to minimise foreign exchange risk. Braga and Martin (1990) employed Anderson's revised OLS technique to examine the feasibility of cross hedge for Soybean meal price with Soybean futures. This was continued for a period of 15-20 years, where researchers were using linear OLS regression of changes in the price of cash asset on changes in the price of futures (Kumar et al, 2018;Iqbal and Mallikarjunappa, 2009;.…”

Section: Cross Hedging: Milestones In Methodology and The Present Statusmentioning

confidence: 99%

Can Crude Oil Futures Be the Good Hedging Tool for Tyre Equities? Evidence From India

Kumar

Pinto²,

Hawaldar

et al. 2021

IJEEP

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Section: Cross Hedging: Milestones In Methodology and The Present Statusmentioning

confidence: 99%

Can Crude Oil Futures Be the Good Hedging Tool for Tyre Equities? Evidence From India

Kumar

Pinto²,

Hawaldar

et al. 2021

IJEEP

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“…The need to conduct tests under more realistic hedging conditions prompted several researchers to examine least-risk hedge ratios and hedging performance for currency futures hedging and cross-hedging on an ex ante basis (e.g., Marmer 1986;Grant 1987, 1989;Park, Lee and Lee 1987;Lypny 1988;Braga, Martin and Meilke 1989;Braga and Martin 1990;Malliaris and Urrutia 1991;Benet 1990aBenet , 1990bBenet , 1992. The results reported by Grant (1987, 1989) and Benet (1990aBenet ( , 1990bBenet ( , 1992 showed a significant difference between ex post and ex ante hedging effectiveness measures.…”

Section: Introductionmentioning

confidence: 99%

“…Superior hedge performance is attainable only as long as the portfolio model yields least-risk hedge parameters for a given hedge period. Based on realistic simulations of hedging performance, Marmer (1986), Kwok (1987), Eaker and Grant (1989), and Braga and Martin (1990) compared the portfolio hedge with a naive hedge rule and no hedge. Their findings offer overwhelming support for the usefulness of the portfolio model strategy for out-of-sample currency futures and currency cross-hedges.…”

Section: Introductionmentioning

confidence: 99%

Single and Multiple Portfolio Cross-Hedging with Currency Futures

DeMaskey¹

1997

MFJ

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Earlier versions of the article were presented at the 1995 annual conference of the Multinational Finance Society in Philadelphia and at the 1994 annual meeting of the Financial Management Association in St. Louis. I thank the session participants, two anonymous reviewers of the Journal and the editor in charge of the manuscript for helpful comments and Villanova University for financial support. Any errors remaining are my responsibility.

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“…The use of U.S. futures markets by foreign countries to abate commodity price risk has been the focus of many analyses [e.g., Ouattara, Schroeder, and Sorenson (1990); Thompson (1985)l. Others have emphasized the measurement and abatement of exchange rate risk facing offshore exporters and importers [e.g., Braga and Martin (1990); Thompson and Bond (1987)l. Recently, Braga and Martin (1991) examined the potential to hedge the European Community's variable levy risk associated with corn and wheat.…”

Section: Introductionmentioning

confidence: 99%