caa a22 4500 386309159 CHVBK 20180307111539.0 cr unu---uuuuu 161130e198812 xx s 000 0 eng 10.2307/2331083 doi S0022109000013272 pii (NATIONALLICENCE)cambridge-10.2307/2331083 Merrick John J. Hedging with Mispriced Futures [Elektronische Daten] [John J. Merrick] This paper analyzes the correspondence between arbitrage sector pricing efficiency and the short-term hedging costs and effectiveness of futures contracts. Reversals of initial contract mispricings by arbitrage sector trading leads to an important mispricing return component in the total return to hedge portfolios. The existence of the mispricing return has implications for initial hedge ratio selection, hedging effectiveness, and expected hedge return. The analysis is used to interpret the hedge ratio guidance and performance of short-term hedges between the Standard and Poor's 500 stock index futures contract and the underlying S&P 500 cash stock index portfolio over the 1982-1986 period. Copyright © School of Business Administration, University of Washington 1988 Journal of Financial and Quantitative Analysis Cambridge University Press 23/4(1988-12), 451-464 0022-1090 23:4<451 1988 23 JFQ https://doi.org/10.2307/2331083 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.2307/2331083 text/html Onlinezugriff via DOI NATIONALLICENCE 100 1- Merrick John J. NATIONALLICENCE 773 0- Journal of Financial and Quantitative Analysis Cambridge University Press 23/4(1988-12), 451-464 0022-1090 23:4<451 1988 23 JFQ CC0 http://creativecommons.org/publicdomain/zero/1.0 nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-cambridge