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

DOI10.1111/BOER.12090zbMATH Open1367.91172OpenAlexW2103143596MaRDI QIDQ4976356FDOQ4976356

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

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zbMATH Keywords

hedgingequitybetafutures

Mathematics Subject Classification ID

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

Cited In (1)

• The impact of investor's view on hedging effectiveness

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