Multinationals and futures hedging under liquidity constraints
โ Scribed by Donald Lien; Kit Pong Wong
- Book ID
- 116511788
- Publisher
- Elsevier Science
- Year
- 2005
- Tongue
- English
- Weight
- 152 KB
- Volume
- 16
- Category
- Article
- ISSN
- 1044-0283
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
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
## 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
## Abstract This paper examines the behavior of the competitive firm under price uncertainty in general and the hedging role of futures spreads in particular. The firm has access to a commodity futures market where unbiased nearby and distant futures contracts are transacted. A liquidity constraint
## Abstract We analyze the hedging effectiveness of positions that replicate stock indexes using corresponding futures contracts through the application of a dynamic, stochastic hedging strategy proposed by Lafuente, J. A. and Novales, A. (2003). Conclusive gains do not emerge in any of the markets