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- Publisher Website: 10.1002/mde.1223
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Article: Tax asymmetry and futures hedging under liquidity constraints
Title | Tax asymmetry and futures hedging under liquidity constraints |
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Authors | |
Issue Date | 2005 |
Publisher | John Wiley & Sons Ltd. The Journal's web site is located at http://www3.interscience.wiley.com/cgi-bin/jhome/7976 |
Citation | Managerial And Decision Economics, 2005, v. 26 n. 4, p. 271-281 How to Cite? |
Abstract | This paper examines the optimal futures hedging decision of a firm facing uncertain income that is subject to asymmetric taxation with no loss-offset provisions. All futures contracts are marked to market and require interim cash settlement of gains and losses. The firm is liquidity constrained in that it is forced to prematurely close its futures position on which the interim loss incurred exceeds a threshold level. The liquidity risk created by the interim funding requirement of a futures hedge is shown to proffer the firm perverse incentives, thereby making an under-hedge optimal. This under-hedging result holds irrespective of whether the firm is risk neutral or risk averse. Copyright © 2005 John Wiley & Sons, Ltd. |
Persistent Identifier | http://hdl.handle.net/10722/85735 |
ISSN | 2023 Impact Factor: 2.5 2023 SCImago Journal Rankings: 0.555 |
ISI Accession Number ID | |
References |
DC Field | Value | Language |
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dc.contributor.author | Wong, KP | en_HK |
dc.date.accessioned | 2010-09-06T09:08:34Z | - |
dc.date.available | 2010-09-06T09:08:34Z | - |
dc.date.issued | 2005 | en_HK |
dc.identifier.citation | Managerial And Decision Economics, 2005, v. 26 n. 4, p. 271-281 | en_HK |
dc.identifier.issn | 0143-6570 | en_HK |
dc.identifier.uri | http://hdl.handle.net/10722/85735 | - |
dc.description.abstract | This paper examines the optimal futures hedging decision of a firm facing uncertain income that is subject to asymmetric taxation with no loss-offset provisions. All futures contracts are marked to market and require interim cash settlement of gains and losses. The firm is liquidity constrained in that it is forced to prematurely close its futures position on which the interim loss incurred exceeds a threshold level. The liquidity risk created by the interim funding requirement of a futures hedge is shown to proffer the firm perverse incentives, thereby making an under-hedge optimal. This under-hedging result holds irrespective of whether the firm is risk neutral or risk averse. Copyright © 2005 John Wiley & Sons, Ltd. | en_HK |
dc.language | eng | en_HK |
dc.publisher | John Wiley & Sons Ltd. The Journal's web site is located at http://www3.interscience.wiley.com/cgi-bin/jhome/7976 | en_HK |
dc.relation.ispartof | Managerial and Decision Economics | en_HK |
dc.rights | Managerial and Decision Economics. Copyright © John Wiley & Sons Ltd. | en_HK |
dc.title | Tax asymmetry and futures hedging under liquidity constraints | en_HK |
dc.type | Article | en_HK |
dc.identifier.openurl | http://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0143-6570&volume=26&spage=271&epage=281&date=2005&atitle=Tax+Asymmetry+and+Futures+Hedging+under+Liquidity+Constraints | en_HK |
dc.identifier.email | Wong, KP: kpwongc@hkucc.hku.hk | en_HK |
dc.identifier.authority | Wong, KP=rp01112 | en_HK |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1002/mde.1223 | en_HK |
dc.identifier.scopus | eid_2-s2.0-20744431787 | en_HK |
dc.identifier.hkuros | 102140 | en_HK |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-20744431787&selection=ref&src=s&origin=recordpage | en_HK |
dc.identifier.volume | 26 | en_HK |
dc.identifier.issue | 4 | en_HK |
dc.identifier.spage | 271 | en_HK |
dc.identifier.epage | 281 | en_HK |
dc.identifier.isi | WOS:000213297100005 | - |
dc.publisher.place | United Kingdom | en_HK |
dc.identifier.scopusauthorid | Wong, KP=7404759417 | en_HK |
dc.identifier.issnl | 0143-6570 | - |