Finance Economics and Econometrics Lab
Seminar Series
2023 - 2024
Speaker: Joelle Miffre (Audencia BS).
Title: “Does Speculation in Futures Markets Improve
Hedging Decisions?”.
joint with Adrian Fernandez-Perez (Auckland U of Technology) and Ana-Maria Fuertes (Bayes BS).
Date: Thursday, January 18th at 12h30 (Paris Time).
Abstract: This article performs a comparative analysis of traditional and selective hedging strategies in commodity futures markets. Traditional hedging solely seeks to minimize risk, while selective hedging simultaneously pursues economic gains by predicting futures returns. The predictions, in turn, range from naïve historical averages to sophisticated forecasts based on, for example, style integration or machine learning. We compare the effectiveness of the various hedges in terms of their ability to maximize expected utility. An out-of-sample analysis applied to 24 commodities endorses traditional over selective hedging, as the latter increases risk but fails to capture alpha. The findings survive different specifications of the traditional and selective hedges, longer estimation windows, alternative rebalancing frequencies, inter alia.
Here is, a link to the speaker’s and the FEELab website:
https://www.audencia.com/en/node/37394
https://sites.google.com/view/feelabtbs/
You are cordially invited to participate in the seminar, which will take place in Room 322, Lascrosses building
For more information, please contact: Pierre Mella-Barral p.mella-barral@tbs-education.fr