File Download
  Links for fulltext
     (May Require Subscription)
Supplementary

Article: Multinationals and futures hedging: An optimal stopping approach

TitleMultinationals and futures hedging: An optimal stopping approach
Authors
KeywordsFutures Hedging
Multinationals
Optimal Stopping Problems
Issue Date2010
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/gfj
Citation
Global Finance Journal, 2010, v. 21 n. 1, p. 13-25 How to Cite?
AbstractThis paper examines the optimal design of a futures hedge program for a risk-averse multinational firm (MNF) under exchange rate uncertainty. All currency futures contracts are marked to market and require interim cash settlement of gains and losses. The MNF commits to prematurely liquidating its futures position on which the interim loss incurred exceeds a threshold level (i.e., the liquidation threshold). When the liquidation threshold is exogenously given, we show that the MNF optimally opts for an under-hedge (an over-hedge) should the futures exchange rates be not too (sufficiently) positively autocorrelated. When the liquidation threshold is endogenously determined, we show that the MNF voluntarily chooses to prematurely liquidate its futures position only if the futures exchange rates are positively autocorrelated. In the case that the futures exchange rates are uncorrelated or negatively autocorrelated, the MNF prefers not to commit to any finite liquidation thresholds. © 2010 Elsevier Inc.
Persistent Identifierhttp://hdl.handle.net/10722/177776
ISSN
2015 SCImago Journal Rankings: 0.347
References

 

DC FieldValueLanguage
dc.contributor.authorMeng, Ren_US
dc.contributor.authorWong, KPen_US
dc.date.accessioned2012-12-19T09:39:52Z-
dc.date.available2012-12-19T09:39:52Z-
dc.date.issued2010en_US
dc.identifier.citationGlobal Finance Journal, 2010, v. 21 n. 1, p. 13-25en_US
dc.identifier.issn1044-0283en_US
dc.identifier.urihttp://hdl.handle.net/10722/177776-
dc.description.abstractThis paper examines the optimal design of a futures hedge program for a risk-averse multinational firm (MNF) under exchange rate uncertainty. All currency futures contracts are marked to market and require interim cash settlement of gains and losses. The MNF commits to prematurely liquidating its futures position on which the interim loss incurred exceeds a threshold level (i.e., the liquidation threshold). When the liquidation threshold is exogenously given, we show that the MNF optimally opts for an under-hedge (an over-hedge) should the futures exchange rates be not too (sufficiently) positively autocorrelated. When the liquidation threshold is endogenously determined, we show that the MNF voluntarily chooses to prematurely liquidate its futures position only if the futures exchange rates are positively autocorrelated. In the case that the futures exchange rates are uncorrelated or negatively autocorrelated, the MNF prefers not to commit to any finite liquidation thresholds. © 2010 Elsevier Inc.en_US
dc.languageengen_US
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/gfjen_US
dc.relation.ispartofGlobal Finance Journalen_US
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License-
dc.subjectFutures Hedgingen_US
dc.subjectMultinationalsen_US
dc.subjectOptimal Stopping Problemsen_US
dc.titleMultinationals and futures hedging: An optimal stopping approachen_US
dc.typeArticleen_US
dc.identifier.emailMeng, R: meng@hku.hken_US
dc.identifier.emailWong, KP: kpwongc@hkucc.hku.hken_US
dc.identifier.authorityMeng, R=rp01086en_US
dc.identifier.authorityWong, KP=rp01112en_US
dc.description.naturepostprinten_US
dc.identifier.doi10.1016/j.gfj.2010.03.007en_US
dc.identifier.scopuseid_2-s2.0-77953229892en_US
dc.identifier.hkuros170438-
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-77953229892&selection=ref&src=s&origin=recordpageen_US
dc.identifier.volume21en_US
dc.identifier.issue1en_US
dc.identifier.spage13en_US
dc.identifier.epage25en_US
dc.publisher.placeNetherlandsen_US
dc.identifier.scopusauthoridMeng, R=23978604800en_US
dc.identifier.scopusauthoridWong, KP=7404759417en_US
dc.identifier.citeulike6955598-

Export via OAI-PMH Interface in XML Formats


OR


Export to Other Non-XML Formats