The demand for hedging of oil producers: A tale of risk and regret

IF 6 2区 管理学 Q1 OPERATIONS RESEARCH & MANAGEMENT SCIENCE
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引用次数: 0

Abstract

Rationalizing the relatively low levels of hedging observed in the oil market, compared to those predicted by pure risk minimization, has proven difficult. This article examines whether the objectives of oil producers can explain this discrepancy. From a theoretical perspective, it appears that the observed level of hedging is well explained by risk averse producers who also exhibit regret aversion towards potential losses in the derivatives market. When applying our models to the data, we find that regret effectively rationalizes producers' under-hedging and its persistence. Our results suggest that neither ambiguity surrounding basis risk, nor prospect theory can account for this behavior. Lastly, our findings indicate that relaxing the assumption of market completeness and considering quantity risk also fail to match the observed hedging activity of oil producers.
石油生产商的套期保值需求:风险与遗憾的故事
事实证明,与纯粹的风险最小化所预测的水平相比,在石油市场上观察到的套期保值水平相对较低,这很难合理解释。本文探讨了石油生产商的目标能否解释这种差异。从理论角度看,风险规避型生产商似乎可以很好地解释观察到的套期保值水平,他们对衍生品市场的潜在损失也表现出后悔规避。在将我们的模型应用于数据时,我们发现后悔情绪有效地合理解释了生产者的对冲不足及其持续性。我们的结果表明,围绕基础风险的模糊性和前景理论都无法解释这种行为。最后,我们的研究结果表明,放宽市场完整性假设和考虑数量风险也无法与观察到的石油生产商套期保值活动相匹配。
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来源期刊
European Journal of Operational Research
European Journal of Operational Research 管理科学-运筹学与管理科学
CiteScore
11.90
自引率
9.40%
发文量
786
审稿时长
8.2 months
期刊介绍: The European Journal of Operational Research (EJOR) publishes high quality, original papers that contribute to the methodology of operational research (OR) and to the practice of decision making.
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