Negative correlation between stock and futures returns: an unexploited hedging opportunity?

DOI10.1111/BOER.12090MaRDI QIDQ4976356zbMATH OpenOpenAlexFDO

Authors Parantap Basu, William T. Gavin

Publication date 28 July 2017

Published in Bulletin of Economic Research (Search for Journal in Brave)

Full work available at URL http://dro.dur.ac.uk/18520/1/18520.pdf

zbMATH Keywords

hedgingequitybetafutures

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) General equilibrium theory (91B50)

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Cited in

(1)

• The impact of investor's view on hedging effectiveness

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