An empirical study of the impact of skewness and kurtosis on hedging decisions

摘要

This study uses real price data rather than a simulation approach to investigate how hedging behaviours may change when hedgers consider skewness and excess kurtosis of hedging returns in their decision models. The study involves modelling the time-varying skewness and excess kurtosis of returns. The empirical results show that adding a preference for positively skewed returns to traditional mean-variance models may not lead to more speculative hedging/investment behaviours. Post-hedged return distributions suggest that the third moments of hedged portfolios have probably been well adjusted by mean-variance strategies, rendering three-moment decision models on a par with traditional mean-variance models. Additionally, considering the aversion to excess kurtosis will cause investors to hedge more. The research also provides empirical support for traditional minimum-variance strategies.View full textDownload full textKeywordsFutures hedging, Skewness and kurtosis, SU -normal distributionRelated var addthis_config = { ui_cobrand: "Taylor & Francis Online", services_compact: "citeulike,netvibes,twitter,technorati,delicious,linkedin,facebook,stumbleupon,digg,google,more", pubid: "ra-4dff56cd6bb1830b" }; Add to shortlist Link Permalink http://dx.doi.org/10.1080/14697688.2012.696677