DESIGNING A PROPER HEDGE: THEORY VERSUS PRACTICE
指出基于价格变化回归确定对冲比率存在数据构建难、区间长度影响结果、事前不确定等缺陷，而基于价格水平回归则能避免这些问题。
Abstract Determining the hedge ratio based on the slope coefficient of a regression on price changes suffers from several critical shortcomings. First, it is difficult to assemble a properly constructed data set. Second, results vary depending on the length of the change interval. Third, the resulting ex post effective prices realized under this approach are wholly uncertain, ex ante. We show that when the hedge ratio is determined with reference to a regression on the respective price levels, rather than price changes, the resulting hedge ratio solution is superior in that none of these shortcomings apply.