Hedging with Futures: Does Anything Beat the Naive Hedging Strategy?

• 成果类型: Article
• 署名作者: Wang, Yudong; Wu, Chongfeng; Yang, Li
• 署名单位: Shanghai Jiao Tong University; University of New South Wales Sydney
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2014.2028
• 发表日期: 2015
• 页码: 2870-2889
• 关键词: hedging with futures; naive strategy; minimum variance hedge ratios; estimation error; Model Misspecification

摘要

This paper investigates out-of-sample performance of the naive hedging strategy relative to that of the minimum variance hedging strategy, in which the covariance parameters are estimated from 18 econometric models. Hedging performance is compared across 24 futures markets. Our main findings suggest that it is difficult to find a strategy under the minimum variance framework that outperforms the naive hedging strategy both consistently and significantly. Our findings are robust to different sample periods, estimation windows, and hedging horizons and can be partly explained by the effects of estimation error and model misspecification.