标题： 不对称条件下的对冲有效性 显示英文标题

标题： Hedging Effectiveness under Conditions of Asymmetry

摘要： 我们检查对冲有效性是否受到收益分布不对称性的影响，通过应用尾部特定指标，比较使用原油期货合约的空头和多头对冲者的对冲有效性。 使用的指标包括下偏矩（LPM）、风险价值（VaR）和条件风险价值（CVAR）。 应用比较的对冲策略包括OLS以及对称和非对称GARCH模型。 我们的研究结果表明，不对称性会降低样本内对冲表现，并且空头和多头对冲者在对冲表现上存在显著差异。 因此，在评估对冲有效性时应应用尾部特定的表现指标。 我们还发现，普通最小二乘法（OLS）模型在不同对冲有效性衡量标准和估计方法下均表现出一致的良好性能，无论基础分布的特征如何。 显示英文摘要

摘要： We examine whether hedging effectiveness is affected by asymmetry in the return distribution by applying tail specific metrics to compare the hedging effectiveness of short and long hedgers using crude oil futures contracts. The metrics used include Lower Partial Moments (LPM), Value at Risk (VaR) and Conditional Value at Risk (CVAR). Comparisons are applied to a number of hedging strategies including OLS and both Symmetric and Asymmetric GARCH models. Our findings show that asymmetry reduces in-sample hedging performance and that there are significant differences in hedging performance between short and long hedgers. Thus, tail specific performance metrics should be applied in evaluating hedging effectiveness. We also find that the Ordinary Least Squares (OLS) model provides consistently good performance across different measures of hedging effectiveness and estimation methods irrespective of the characteristics of the underlying distribution.