A Risk-Return Measure of Hedging Effectiveness: A Reply

Charles T. Howard and Louis J. D'Antonio

Journal of Financial and Quantitative Analysis, 1987, vol. 22, issue 3, 377-381

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.

Date: 1987
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