1 In running a regression of St on ft , the regression equation is St 0 51 0 95 ft and R 2 0 72 What is the hedge ratio What is the measure of hedging effectiveness ...

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1.In running a regression of St on ft , the regression equation is St = 0.51 +...

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1.In running a regression of ΔSt on Δft , the regression equation is ΔSt = 0.51 + 0.95 Δft and R 2 = 0.72. What is the hedge ratio? What is the measure of hedging effectiveness?

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Financial Institutions Management A Risk Management

ISBN: 9781743073551

4th Edition

Authors: Helen Lange, Anthony Saunders, Marcia Millon Cornett

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Question Posted: Oct 22, 2024 01:00 AM

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1. In running a regression of St on ft, the regression equation is St .51 .95 ft and R2 .72. What is the hedge ratio? What is the measure of hedging effectiveness?
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1.In running a regression of St on ft , the regression equation is St = 0.51 +...

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Financial Institutions Management A Risk Management

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