کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
968484 | 931587 | 2006 | 11 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Cross-hedging with futures and options: The effects of disappointment aversion
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
This article examines the effect of disappointment aversion on cross-hedging decisions. We show that, when both futures and options markets are unbiased, disappointment aversion has no effect on the optimal hedge positions. In case that either market is biased, disappointment aversion induces the hedger to behave more conservatively. In addition, as the hedger becomes more disappointment averse, his action is more reserved. It is also found that disappointment aversion tends to depress the importance of the put options whereas the effect of risk aversion is not uniform. Analytical predictions are supplemented by numerical exercises.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Multinational Financial Management - Volume 16, Issue 1, February 2006, Pages 16-26
Journal: Journal of Multinational Financial Management - Volume 16, Issue 1, February 2006, Pages 16-26
نویسندگان
Donald Lien, Yan Wang,