KHAS Finance Webinars – Dr. Adrian Fernandez-Perez
The guest of the Finance Webinars series organized by Kadir Has University International Trade and Finance Department is Dr. Adrian Fernandez-Perez (Auckland University of Technology) on Thursday, May 25 at 10 AM (GMT+3).
You may follow Dr. Fernandez-Perez’s speech titled “Does Speculation in Futures Markets Improve Hedging Decisions?” on Zoom.
Zoom Meeting ID: 815 2678 8576
The event is in English.
Abstract: This article compares traditional hedging that aims at covering spot price risk and selective hedging that also speculates by forecasting futures price changes. The selective hedges we consider use different forecasts that range from the historical average return to (V)AR model projections, combinations of univariate regression forecasts, and optimally integrated predictive signals. We compare the effectiveness of the various hedges in terms of their ability to maximize expected utility and reduce risk. An out-of-sample analysis applied to 24 commodities endorses traditional hedging on both accounts which can be rationalized by the absence of a risk premium at the individual commodity level. The findings are not period-specific and survive transaction costs, longer estimation windows, and weekly versus monthly rebalancing frequencies, inter alia.
Available at SSRN: https://ssrn.com/abstract=4287561
About the Speaker: Adrian Fernandez-Perez is from Gran Canaria, Spain where he did his PhD in Economics. Dr. Fernandez-Perez is the Director of the Auckland Centre for Financial Research (Auckland University of Technology, New Zealand). His research focuses on the pricing of commodities and behavioral finance. His articles are published in leading academic journals such as the Journal of Financial Economics, Review of Finance, Journal of Banking and Finance or Energy Economics, among others. As testimonies of the relevance of his research to the industry, his work is featured in media and practitioners’ journals (Wall Street Journal, Bloomberg, Harvard Business Review, USA Today, Global Commodities Applied Research Digest, Hedge Funds Review, Investment and Pension Europe, or The Conversation), and was awarded grants from financial market participants such as INQUIRE UK, BA/Leverhulme or AFAANZ. Dr. Fernandez-Perez is an Associate Editor of Journal of Commodity Markets, the editor-in-chief of the Applied Finance Letters, and member of the Editorial Advisory Board of the Global Commodities Applied Research Digest.