𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Tax-loss carryforward and futures hedging

✍ Scribed by Donald Lien; Michael Metz

Publisher
John Wiley and Sons
Year
2002
Tongue
English
Weight
139 KB
Volume
23
Category
Article
ISSN
0143-6570

No coin nor oath required. For personal study only.

✦ Synopsis

Abstract

Our research is motivated by the Corn Products vs Arkansas Best Supreme court decisions that brought on the controversy of the tax treatment of gains and losses from futures hedging. The usefulness of a futures contract as risk management tool depends on the tax code. In this paper we address implications of capital treatment of futures positions (disallowing offset for tax purposes) when tax‐loss carryover is allowed. Our analysis utilizes a two‐period model to capture the inter‐temporal effects. We investigate the optimal hedge ratios under these scenarios analytically where possible, and numerically where necessary. Copyright Β© 2002 John Wiley & Sons, Ltd.

πŸ“œ SIMILAR VOLUMES

Corporate taxes and hedging with futures
Corporate taxes and hedging with futures
✍ T. Hanan Eytan πŸ“‚ Article πŸ“… 1990 πŸ› John Wiley and Sons 🌐 English βš– 382 KB πŸ‘ 1 views
Tax asymmetry and futures hedging under
Tax asymmetry and futures hedging under liquidity constraints
✍ Kit Pong Wong πŸ“‚ Article πŸ“… 2005 πŸ› John Wiley and Sons 🌐 English βš– 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

A Note on Loss Aversion and Futures Hedg
A Note on Loss Aversion and Futures Hedging
✍ Donald Lien πŸ“‚ Article πŸ“… 2001 πŸ› John Wiley and Sons 🌐 English βš– 103 KB πŸ‘ 1 views

## Abstract This note examines the effect of loss aversion on the futures trading behavior of a short hedger. Using a modified constant‐absolute‐risk‐aversion utility function, I show that loss aversion has no effect in an unbiased futures market. It has different, predictable impacts when the futu

International tenders and futures hedgin
International tenders and futures hedging
✍ Donald Lien; Kit Pong Wong πŸ“‚ Article πŸ“… 2006 πŸ› John Wiley and Sons 🌐 English βš– 139 KB

This paper examines the optimal bidding and hedging decisions of a risk-averse firm that takes part in an international tender. The firm faces multiple sources of uncertainty: exchange rate risk, risk of an unsuccessful tender, and business risk. The firm is allowed to trade unbiased currency future