The Effect of Fuel Hedging in the Airline Industry on Returns, Volatility, and on the Return-to-risk Relationship Analysis
研究了航空公司燃油对冲与波动性的关系，发现对冲费用与总波动和特质波动负相关，但会降低夏普比率；大对冲者有效降低风险，中小对冲者可能用于投机。
This paper begins with an investigation on the relation between airline fuel hedging and volatility and builds on this idea to consider its effect on the risk and return relationship. The evidence affirms a negative association between an airline’s fuel hedging expense and both its total volatility and idiosyncratic volatility. However, we observe a negative relationship between hedging and the Sharpe ratio, indicating that hedging reduces the return to risk performance. These relationships also appear to be nonlinear as medium or small hedgers can improve their return to risk ratio while large hedgers can reduce their total and idiosyncratic risk. Results indicate large hedgers are effective hedgers while small and/or medium hedgers may be using derivatives more for effective speculation. Employing lagged variables and instrumental variable approaches yield qualitatively similar results.