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Article: Imperfect forward markets and hedging
Title | Imperfect forward markets and hedging |
---|---|
Authors | |
Issue Date | 2002 |
Publisher | Blackwell Publishing Ltd. The Journal's web site is located at http://www.blackwellpublishing.com/journals/ECNO |
Citation | Economic Notes, 2002, v. 31 n. 1, p. 143-154 How to Cite? |
Abstract | This paper considers a hedging model of a risk-averse competitive firm facing output price uncertainty. Imperfections exist in forward transactions in that the firm faces a downward-sloping demand function for its forward sales. We show that the optimal output and hedge ratio of the firm are, in general, not separable, and are related in a deterministic manner. We also derive some economic implications of production and hedging decisions when firms differ in their attitudes towards risk. A more risk-averse firm is shown to produce less and hedge more than a less risk-averse firm. |
Persistent Identifier | http://hdl.handle.net/10722/85549 |
ISSN | 2023 Impact Factor: 0.8 2023 SCImago Journal Rankings: 0.350 |
References |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Broll, U | en_HK |
dc.contributor.author | Wong, KP | en_HK |
dc.date.accessioned | 2010-09-06T09:06:27Z | - |
dc.date.available | 2010-09-06T09:06:27Z | - |
dc.date.issued | 2002 | en_HK |
dc.identifier.citation | Economic Notes, 2002, v. 31 n. 1, p. 143-154 | en_HK |
dc.identifier.issn | 0391-5026 | en_HK |
dc.identifier.uri | http://hdl.handle.net/10722/85549 | - |
dc.description.abstract | This paper considers a hedging model of a risk-averse competitive firm facing output price uncertainty. Imperfections exist in forward transactions in that the firm faces a downward-sloping demand function for its forward sales. We show that the optimal output and hedge ratio of the firm are, in general, not separable, and are related in a deterministic manner. We also derive some economic implications of production and hedging decisions when firms differ in their attitudes towards risk. A more risk-averse firm is shown to produce less and hedge more than a less risk-averse firm. | en_HK |
dc.language | eng | en_HK |
dc.publisher | Blackwell Publishing Ltd. The Journal's web site is located at http://www.blackwellpublishing.com/journals/ECNO | en_HK |
dc.relation.ispartof | Economic Notes | en_HK |
dc.rights | Economic Notes. Copyright © Blackwell Publishing Ltd. | en_HK |
dc.title | Imperfect forward markets and hedging | en_HK |
dc.type | Article | en_HK |
dc.identifier.openurl | http://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0391-5026&volume=31&spage=143&epage=154&date=2002&atitle=Imperfect+Forward+Markets+and+Hedging | 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 | 10.1111/1468-0300.00076 | - |
dc.identifier.scopus | eid_2-s2.0-0036107387 | en_HK |
dc.identifier.hkuros | 71436 | en_HK |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-0036107387&selection=ref&src=s&origin=recordpage | en_HK |
dc.identifier.volume | 31 | en_HK |
dc.identifier.issue | 1 | en_HK |
dc.identifier.spage | 143 | en_HK |
dc.identifier.epage | 154 | en_HK |
dc.publisher.place | United Kingdom | en_HK |
dc.identifier.scopusauthorid | Broll, U=7004024398 | en_HK |
dc.identifier.scopusauthorid | Wong, KP=7404759417 | en_HK |
dc.identifier.issnl | 0391-5026 | - |