Integração espacial e eficiência do hedge no mercado sul-americano de soja: comparações entre Brasil e Argentina

Este trabalho tem por objetivo analisar o potencial de desenvolvimento do contrato futuro de soja no Brasil, por meio da atração de hedgers brasileiros e argentinos. Para tanto, faz-se necessário conhecer os padrões das conexões dos preços entre as regiões analisadas. Nesse sentido, o Capítulo 2 investigou a integração espacial do mercado físico de soja no Brasil (região de Sorriso, no Mato Grosso) e na Argentina (região de Rosário, na província de Santa Fé) e comparou ao grau de integração com os Estados Unidos. Foram empregados modelos autorregressivos com threshold (TAR e M-TAR) e modelos vetoriais de correção de erros, lineares e com threshold (VECM e TVECM), visando captar os efeitos dos custos de transação sobre a integração espacial entre essas regiões. Os resultados apontaram que o mercado de soja brasileiro, argentino e norte-americano são integrados, mesmo considerando-se os efeitos dos custos de transação sobre as decisões de arbitragem espacial. Consequentemente, os preços da soja no mercado internacional tendem a refletir o comportamento dos principais países produtores. Apesar disso, o tempo de transmissão de choques de preços mostrou-se, em geral, menor entre Brasil e Argentina, refletindo a proximidade geográfica. Apontou-se também o comportamento assimétrico da transmissão desses choques, uma vez que choques positivos sobre a relação de longo prazo tendem a ser mais persistentes que os negativos. Se o contrato futuro reflete o comportamento de preços de um único mercado físico integrado, deve-se então esperar que o risco de base seja menor para este mercado e, portanto, que a eficiência do hedge seja maior. No Capítulo 3, o objetivo se constituiu em verificar se há maior eficiência no hedge realizado com os contratos com vencimento em março na CME em relação à BM&FBOVESPA, considerando-se as relações de longo prazo entre os preços à vista e futuros, bem como a dinâmica na estrutura de covariâncias condicionais, por meio de modelos de correção de erros (VECM) e modelos de heterocedasticidade condicional generalizados com correlação condicional dinâmica (DCC-GARCH). Os resultados mostraram que, em geral, a introdução da dinâmica nos segundos momentos das distribuições dos erros tende a aumentar a eficiência da estratégia de hedge. Além disso, foi observado que os produtores de Sorriso tendem a obter melhores condições de hedge na CME, embora haja redução da variância ao se operar na BM&FBOVESPA. Por outro lado, a eficiência do hedge para os produtores de Rosário foi significativamente maior na BM&FBOVESPA do que na CME, o que indica o mercado potencial de hedgers argentinos para negociar o contrato futuro de soja local no Brasil.

Letter from Levi Hedge to President John Kirkland, [ca. 1823]

Levi Hedge, Professor of Logic and Metaphysics, wrote Harvard president John Kirkland requesting renovations to the house which he occupied. Hedge's house was situated on North Street (now Massachusetts Avenue). He notes that the kitchen has a leaky sink, loose and unusable shelves, and is insufficiently insulated.

Subjects suggested by Levi Hedge, ca. 1820s

A handwritten letter to President Kirkland with three suggested questions from Levi Hedge, a professor of logic and metaphysics from 1810 to 1827, and the Alford Professor of Natural Religion, Moral Philosophy, and Civil Polity from 1827 to 1832.

Letter from Levi Hedge to William Bentley, 1811 February 19

Two leaves containing a one-page handwritten letter from Hedge to Bentley discussing the examination of Andrew Dunlap for readmission to Harvard.

Letter from Levi Hedge to William Bentley, 1811 March 19

Two leaves containing a one-page handwritten letter from Hedge to Bentley discussing the examination of Andrew Dunlap for readmission to Harvard and a brief description of certain volumes used by undergraduates in their academic studies.

Letters from Sarah Dunlap and William Bentley to Levi Hedge, [1811 March]

Two leaves containing a one-page handwritten letter from Sarah Dunlap providing consent for her son Andrew to be examined by Harvard and a one-page handwritten letter from William Bentley to Levi Hedge about Dunlap's examination.

An SDF approach to hedge funds’ tail risk: evidence from Brazilian funds

The main purpose of this paper is to propose a methodology to obtain a hedge fund tail risk measure. Our measure builds on the methodologies proposed by Almeida and Garcia (2015) and Almeida, Ardison, Garcia, and Vicente (2016), which rely in solving dual minimization problems of Cressie Read discrepancy functions in spaces of probability measures. Due to the recently documented robustness of the Hellinger estimator (Kitamura et al., 2013), we adopt within the Cressie Read family, this specific discrepancy as loss function. From this choice, we derive a minimum Hellinger risk-neutral measure that correctly prices an observed panel of hedge fund returns. The estimated risk-neutral measure is used to construct our tail risk measure by pricing synthetic out-of-the-money put options on hedge fund returns of ten specific categories. We provide a detailed description of our methodology, extract the aggregate Tail risk hedge fund factor for Brazilian funds, and as a by product, a set of individual Tail risk factors for each specific hedge fund category.

Nominations for the Superior Court of the District of Columbia : hearing before the Committee on Governmental Affairs, United States Senate, One Hundred Second Congress, second session, on nominations of Brook Hedge, to be an associate judge ... and Lee F. Satterfield, to be an associate judge ... September 30, 1992.

Shipping list no.: 93-0255-P.

Tomb Chapel of Nebamun, interior, The pool in Nebamun's estate garden: date-palms, sycomores and mandrakes hedge the pool which teems with fish and fowl; the goddess of the sycomore, surrounded by her produce, is shown in the top right-hand corner

Thebes (deserted settlement), Egypt; H: 2 ft. 1 13/64 in.; W: 2 ft. 4 47/64 in. (painting); painted plaster

The practical planter, or, A treatise on forest planting : comprehending the culture and management of planted and natural timber, in every stage of its growth : also on the culture and management of hedge fences, and the construction of stone walls, &c /

Goldsmiths'-Kress no. 18632.

The propensity to hedge with futures contracts:the case of potato futures contracts

This paper studies why UK non-financial firms hedge with potato futures contracts. It is found that the financial characteristics of firms in the sample play an important role in influencing the propensity to hedge. For example, it is found that firms that hedge are on average larger than firms that do not hedge. Firms that hedge also have more volatile earnings. Furthermore, firms that do hedge appear to want to smooth earnings to reduce the costs of financial distress and avoid entering the highest tax threshold. © 2005 Taylor & Francis.

Eficiência e razão de hedge: uma análise dos mercados futuro brasileiros de boi, café, etanol, milho e soja

This research aims to investigate the Hedge Efficiency and Optimal Hedge Ratio for the future market of cattle, coffee, ethanol, corn and soybean. This paper uses the Optimal Hedge Ratio and Hedge Effectiveness through multivariate GARCH models with error correction, attempting to the possible phenomenon of Optimal Hedge Ratio differential during the crop and intercrop period. The Optimal Hedge Ratio must be bigger in the intercrop period due to the uncertainty related to a possible supply shock (LAZZARINI, 2010). Among the future contracts studied in this research, the coffee, ethanol and soybean contracts were not object of this phenomenon investigation, yet. Furthermore, the corn and ethanol contracts were not object of researches which deal with Dynamic Hedging Strategy. This paper distinguishes itself for including the GARCH model with error correction, which it was never considered when the possible Optimal Hedge Ratio differential during the crop and intercrop period were investigated. The commodities quotation were used as future price in the market future of BM&FBOVESPA and as spot market, the CEPEA index, in the period from May 2010 to June 2013 to cattle, coffee, ethanol and corn, and to August 2012 to soybean, with daily frequency. Similar results were achieved for all the commodities. There is a long term relationship among the spot market and future market, bicausality and the spot market and future market of cattle, coffee, ethanol and corn, and unicausality of the future price of soybean on spot price. The Optimal Hedge Ratio was estimated from three different strategies: linear regression by MQO, BEKK-GARCH diagonal model, and BEKK-GARCH diagonal with intercrop dummy. The MQO regression model, pointed out the Hedge inefficiency, taking into consideration that the Optimal Hedge presented was too low. The second model represents the strategy of dynamic hedge, which collected time variations in the Optimal Hedge. The last Hedge strategy did not detect Optimal Hedge Ratio differential between the crop and intercrop period, therefore, unlikely what they expected, the investor do not need increase his/her investment in the future market during the intercrop

Eficiência e razão de hedge: uma análise dos mercados futuro brasileiros de boi, café, etanol, milho e soja

This research aims to investigate the Hedge Efficiency and Optimal Hedge Ratio for the future market of cattle, coffee, ethanol, corn and soybean. This paper uses the Optimal Hedge Ratio and Hedge Effectiveness through multivariate GARCH models with error correction, attempting to the possible phenomenon of Optimal Hedge Ratio differential during the crop and intercrop period. The Optimal Hedge Ratio must be bigger in the intercrop period due to the uncertainty related to a possible supply shock (LAZZARINI, 2010). Among the future contracts studied in this research, the coffee, ethanol and soybean contracts were not object of this phenomenon investigation, yet. Furthermore, the corn and ethanol contracts were not object of researches which deal with Dynamic Hedging Strategy. This paper distinguishes itself for including the GARCH model with error correction, which it was never considered when the possible Optimal Hedge Ratio differential during the crop and intercrop period were investigated. The commodities quotation were used as future price in the market future of BM&FBOVESPA and as spot market, the CEPEA index, in the period from May 2010 to June 2013 to cattle, coffee, ethanol and corn, and to August 2012 to soybean, with daily frequency. Similar results were achieved for all the commodities. There is a long term relationship among the spot market and future market, bicausality and the spot market and future market of cattle, coffee, ethanol and corn, and unicausality of the future price of soybean on spot price. The Optimal Hedge Ratio was estimated from three different strategies: linear regression by MQO, BEKK-GARCH diagonal model, and BEKK-GARCH diagonal with intercrop dummy. The MQO regression model, pointed out the Hedge inefficiency, taking into consideration that the Optimal Hedge presented was too low. The second model represents the strategy of dynamic hedge, which collected time variations in the Optimal Hedge. The last Hedge strategy did not detect Optimal Hedge Ratio differential between the crop and intercrop period, therefore, unlikely what they expected, the investor do not need increase his/her investment in the future market during the intercrop

A industria de hedge funds: caracteristicas, estratégias e divulgação de informação

Os hedge funds encontram-se presentes nos mercados financeiros há cerca 60 anos. Porém, recentemente, tem-se assistido a transformações consideráveis no sector, particularmente no que concerne ao segmento alvo. Inicialmente, este tipo de investimento era sobretudo dedicado a investidores particulares de vastos recursos; recentemente tem sido alvo da crescente atenção de investidores institucionais, ligados aos mais variados ramos, como entidades seguradoras, fundos de pensões, entres outros. Este trabalho tem, porém, objetivos mais amplos, os quais passam pela caraterização da indústria de hedge funds, pela identificação dos principais investidores e das estratégias de investimento prosseguidas, bem como pela avaliação do impato que aumento do nível de transparência dos retornos obtidos poderá ter ao nível do crescimento deste segmento do mercado financeiro, o qual acarretará, necessariamente, transformações ao nível dos dispositivos de regulação, Em termos metodológicos, recorreu-se, essencialmente, à sistematização de informação, a qual permitiu construir um discurso autónomo, abrangente e crítico. O trabalho permitiu evidenciar algumas conclusões, entre as quais se destacam a especificidade em matéria de estratégias de investimento conduzidas e a existência de conflitos latentes entre os gestores de hedge funds e os investidores neste instrumento financeiro.

Reviewing the hedge funds literature I:hedge funds and hedge funds' managerial characteristics

This paper summarizes the literature on hedge funds (HFs) developed over the last two decades, particularly that which relates to managerial characteristics (a companion piece covers the return and risk management characteristics of HFs). It classifies, the current HF literature, suggesting which critical problems have been “solved” and which problems have not been yet adequately addressed. It also discusses the effects of past financial regulation and the prospects for the effect of new financial regulation on the HF industry and its performance and risk management practices, and suggests new avenues for research. Furthermore, it highlights the importance of managerial characteristics for HF performance, and the successes and the shortfalls to date in developing more sophisticated HF-related risk management tools.