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A Risk-Return Measure of Hedging Effectiveness: A Reply

Published online by Cambridge University Press:  06 April 2009

Charles T. Howard  and
Louis J. D'Antonio
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Abstract

In this reply, we point out that Chang and Shankar's measure of hedging performance, which they label HE1, is not an adequate measure. We describe an alternative measure, labeled HBS, which has a number of desirable ex ante and ex post statistical properties.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 22 , Issue 3 , September 1987 , pp. 377 - 381
Copyright
Copyright © School of Business Administration, University of Washington 1987

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References

[1]Howard, C., and D'Antonio, L.. “A Risk-Return Measure of Hedging Effectiveness.” Journal of Financial and Quantitative Analysis, 19 (03 1984), 101–112.Google Scholar
[2]Howard, C., and D'Antonio, L.. “Treasury Bill Futures as a Hedging Tool: A Risk-Return Approach.” Journal of Financial Research, 9 (Spring 1986), 25–39.Google Scholar
[3]Chang, J. S. K., and Shanker, L.. “A Risk-Return Measure of Hedging Effectiveness: A Comment.” Journal of Financial and Quantitative Analysis, 22 (09 1987), 373–376.CrossRefGoogle Scholar