Alternative approaches to testing hedge effectiveness under SFAS no. 133

Accounting Horizons

Volumn 16, Issue 2, 2002, Pages 95-108

  Finnerty, John D ^a,b   Grant, Dwight ^c  

^a Analysis Group/Economics   (United States)

^b FORDHAM UNIVERSITY   (United States)

^c UNIVERSITY OF NEW MEXICO   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 28844434728     PISSN: 08887993     EISSN: 15587975     Source Type: Journal    
DOI: 10.2308/acch.2002.16.2.95     Document Type: Article

References (16)

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3. Ederington, L. H. 1979. The hedging performance of the new futures markets. Journal of Finance 34 (March): 157-170.
4. Figlewski, S. 1984. Hedging performance and basis risk in stock index futures. Journal of Finance 39 (July): 657-669.
5. Financial Accounting Standards Board (FASB). 1998. Accounting for Derivative Instruments and Hedging Activities. Statement of Financial Accounting Standards No. 133. Norwalk, CT: FASB.
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7. Financial Accounting Standards Board (FASB). 1999. Derivatives Implementation Group. Issue No. E4. Norwalk, CT: FASB.
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9. Financial Accounting Standards Board (FASB). 2001. Derivatives Implementation Group. Issue Nos. E14, E15, and E16. Norwalk, CT: FASB.
10. Franckle, C. T. 1980. The hedging performance of the new futures markets: Comment. Journal of Finance 35 (December): 1273-1279.
11. Kalotay, A., and L. Abreo. 2001. Testing hedge effectiveness for FAS 133: The volatility reduction measure. Journal of Applied Corporate Finance 13 (Winter): 93-99.
12. Kawaller, I. G., and P. D. Koch. 2000. Meeting the "highly effective expectation" criterion for hedge accounting. Journal of Derivatives 7 (Summer): 79-87.
13. Lipe, R. C. 1996. Current accounting projects. Presentation at the 1996 Twenty-Fourth Annual National Conference on Current SEC Developments, Office of the Chief Accountant, U.S. Securities and Exchange Commission, Washington, D.C., December 10.
14. Malliaris, A. G., and J. L. Urrutia. 1991. The impact of the lengths of estimation periods and hedging horizons on the effectiveness of a hedge: Evidence from foreign currency futures. Journal of Futures Markets 11 (3): 271-289.
15. Royall, R. L., II. 2001. Use of regression in assessing hedge effectiveness: FAS 133 and the new derivatives accounting landscape. Institutional Investor Fall: 52-61.
16. Swad, S. M. 1995. Accounting and disclosures for derivatives. Presentation at the 1995 Twenty-Second Annual National Conference on Current SEC Developments, Office of the Chief Accountant, U.S. Securities and Exchange Commission, Washington, D.C., January 11.