Metallgesellschaft: a prudent hedger ruined, or a wildcatter on NYMEX?
Article Abstract:
The barrel-for-barrel hedge strategy of the firm Metallgesselschaft (MG) exposes the firm to more economic risks and losses due to the fall in volatilities and the imperfect correlation between spot and deferred prices. The higher risk that the strategy puts on MG's futures also steepens the firm's oil price term structure, which occurred after the strategy's implementation. The most relevant factor, however, in using the variance- minimizing hedges is the superior possession of information, but MG does not seem to have this capacity.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 1997
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New evidence on the forward unbiasedness hypothesis in the foreign-exchange market
Article Abstract:
Results of regression analysis, which is used to examine foreign exchange rate predictions, are presented.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2006
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