To make high-quality research more accessible and easier to explore.

Fields:

A Risk-Return Measure of Hedging Effectiveness: A Comment

Journal of Financial and Quantitative Analysis 1987 22(3), 373
This paper points out an error and implications of the error in the model of hedging effectiveness proposed by Howard and D'Antonio (1). The error would lead to ambiguous results if the model were used in practical applications to select the best hedging instrument. This paper proposes a new measure of hedging effectiveness that eliminates the error in the original model and resolves the ambiguity.