...Calvin W.H. Cheong Purpose The purpose of this paper is to investigate the ability of the Islamic gold dinar to hedge against two well-established foreign exchange (FX) risk factors namely, the dollar risk factor and global FX volatility innovations. Design/methodology/approach The paper uses...

...Peihwang Wei; Li Xu; Bei Zeng Purpose The purpose of this paper is to investigate the substitutability of corporate hedging and diversification in the real estate investment trusts (REITs) industry. The authors hypothesize that, relative to diversified firms, focused firms are more likely...

... hedging decision. Design/methodology/approach – This study is conducted via a survey and the questionnaires were sent to the treasurers and financial controller of the firms. Descriptive analysis is employed to assess the profiles of the respondents. Then, factor analysis is carried out to determine...

... the firm is most vulnerable (BRV) and the firm's FX hedge techniques. Design/methodology/approach The BRV‐based estimates of FXE are compared to the FXE estimates using the broad trade‐weighted index (TWI) data that are prevalent in prior research. Multivariate regression and sample partitioning...

...Timothy A. Kruse; Kazunori Suzuki Purpose This paper seeks to analyse Steel Partners' investments and activism targeting United Industrial, Ronson, and BKF Capital to provide context for the debate surrounding shareholder activism by hedge funds and how incumbent management should cope...

...Greg N. Gregoriou; Razvan Pascalau; Dieter Kaiser; Florian Haberfelner Purpose The purpose of this paper is to explore how hedge fund database biases developed during the 2007‐2009 financial crisis. Design/methodology/approach The sample consists of 8,935 hedge funds from the Lipper TASS Hedge...

...Greg N. Gregoriou; Razvan Pascalau; Omid Sabbaghi Purpose The purpose of this paper is to investigate the return performance of different investment strategies in the hedge fund sector, with a particular emphasis on the recent US financial crisis of 2007‐2010. Additionally, the paper aims...

...Greg N. Gregoriou; Razvan Pascalau; Nils S. Tuchschmid; Erik Wallerstein; Sassan Zaker Purpose Hedge fund replication gained considerable attention during the period surrounding 2007 when it was anticipated to become for hedge fund investors what index funds are for equity investors. The hedge...

...Greg N. Gregoriou; Razvan Pascalau; Maher Kooli; Sameer Sharma Purpose The purpose of this paper is to examine the possibility of creating hedge funds “clones” using liquid exchange traded instruments. Design/methodology/approach Authors analyze the performance of fixed weight and extended...

...Greg N. Gregoriou; Razvan Pascalau; Greg N. Gregoriou; Razvan Pascalau Purpose The purpose of this paper is to propose that simple measures of linear association are unable to capture accurately the dependence between the survival of hedge funds and funds of funds, respectively. The paper...

...Greg N. Gregoriou; Razvan Pascalau; Arnaud Cave; Georges Hubner; Danielle Sougne Purpose The purpose of this paper is to gain a better understanding of the market timing skills displayed by hedge fund managers during the 2007‐08 financial crisis. Design/methodology/approach The performance...

... of two options on the average temperature, by which TEPCO and TGSC can, respectively, hedge against a cold summer and a hot summer. The purpose of this paper is to develop a theoretical framework to evaluate the fairness or rationality of such a zero‐cost weather risk swap, derive some conditions...

... cycle. Practical implications This paper offers readers an insight into the market‐timing abilities of sector fund managers across the business cycles. Investors can use the findings of this paper to develop hedging strategies especially when the economy is going through recession. Originality...

...Giulio Tagliavini; Alessandro Carretta; Enrico Moretto; Giulio Tagliavini Purpose The purpose of this paper is to investigate how asset risk (i.e. the risk that the value of the leased asset loses unexpectedly most of its value at the end of the contract) is measured and hedged. Design...

... series approximation and applied to hedge fund data. Findings An increase of 1 in the skewness has the same effect on an investor as an increase in the mean of 2.5 basis points per month. An increase of 1 in the kurtosis has the same effect on an investor as a decrease in the mean of 0.15 basis...

... hedging on exposure elasticities. Furthermore, the evidence on the nature of firms’ financial derivative usage is considered. Findings It is suggested that the exposure puzzle may not be a problem of empirical methodology or sample selection as previous research has suggested, but is simply the result...

...Ahmed El‐Masry; Raimond Maurer; Shohreh Valiani Purpose This study seeks to examine the effectiveness of controlling the currency risk for international diversified mixed‐asset portfolios via two different hedge instruments, currency forwards and currency options. So far, currency forward has been...

...George P. Artikis; George Chalamandaris Purpose The paper aims to propose a consistent and robust pricing/hedging methodology for callable fixed income structures with embedded caplet‐linked options. Design/methodology/approach A range of recently published (1997‐2003) works about the Libor...

...Karyl B. Leggio; John Cita; Soojong Kwak; Donald Lien Purpose To evaluate various hedge programs designed to minimize the risk of an extreme monthly gas bill subject to a pre‐determined hedge program budget. Design/methodology/approach – Historical data were collected on natural gas spot...

...Karyl B. Leggio; Karyl B. Leggio Purpose The purpose of this study is to demonstrate the use of weather derivatives to hedge firm exposure to previously unmanageable risk events caused by natural phenomenon such as excessive rainfall. Design/methodology/approach – The paper adopts a case study...