✦ LIBER ✦

LIQUIDITY RISK AND CORPORATE HEDGING WITH FUTURES

✍ Scribed by MAURICE K. S. TSE; KIT PONG WONG

Book ID: 111047807
Publisher: John Wiley and Sons
Year: 2011
Tongue: English
Weight: 124 KB
Volume: 16
Category: Article
ISSN: 1361-374X
DOI: 10.1111/j.1468-0106.2011.00544.x

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Corporate taxes and hedging with futures

✍ T. Hanan Eytan 📂 Article 📅 1990 🏛 John Wiley and Sons 🌐 English ⚖ 382 KB 👁 1 views

Corporate income tax and futures hedging

✍ Donald Lien; Michael Metz 📂 Article 📅 2001 🏛 Springer US 🌐 English ⚖ 434 KB

Tax asymmetry and futures hedging under

Tax asymmetry and futures hedging under liquidity constraints

✍ Kit Pong Wong 📂 Article 📅 2005 🏛 John Wiley and Sons 🌐 English ⚖ 146 KB

This paper examines the optimal futures hedging decision of a firm facing uncertain income that is subject to asymmetric taxation with no loss-offset provisions. All futures contracts are marked to market and require interim cash settlement of gains and losses. The firm is liquidity constrained in t

Risk management with options and futures

Risk management with options and futures under liquidity risk

✍ Axel F. A. Adam-Müller; Argyro Panaretou 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 367 KB 👁 2 views

## Abstract Futures hedging creates liquidity risk through marking to market. Liquidity risk matters if interim losses on a futures position have to be financed at a markup over the risk‐free rate. This study analyzes the optimal risk management and production decisions of a firm facing joint price

Hedging corporate debt with U.S. treasur

Hedging corporate debt with U.S. treasury bond futures

✍ Robert C. Kuberek; Norman G. Pefley 📂 Article 📅 1983 🏛 John Wiley and Sons 🌐 English ⚖ 560 KB

ecent articles on the hedging effectiyeness of interest-rate futures have fo-R cused on the relationship betpbeen futures contracts and their underlying cash instruments. Ederington (1979) examines the use of Treasury bill and GNMA futures to hedge the price risk in holding Treasury bills and GNMA c

The effect of liquidity constraints on f

The effect of liquidity constraints on futures hedging

✍ Donald Lien 📂 Article 📅 2003 🏛 John Wiley and Sons 🌐 English ⚖ 96 KB 👁 2 views

## Abstract This article assumes that because of liquidity constraints, a hedge program will be terminated if the cumulative loss from a futures position exceeds a certain threshold. The constraint leads to a smaller futures position. If the hedger has a quadratic utility function, then the optimal