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Time-Varying Risk Premium or Informational Inefficiency? Further Evidence in Agricultural Futures Markets

Frank, Julieta; Garcia, Philip - NCR-134 Conference on Applied Commodity Price Analysis, … - 2005

Recent research has provided mixed results regarding the presence of a time-varying risk premium in agricultural futures markets. In this paper we test for the presence of a time-varying risk premium and market efficiency focusing on the properties of the underlying data. Specifically, we...

Persistent link: https://www.econbiz.de/10005798622

Relaxing Standard Hedging Assumptions in the Presence of Downside Risk

Mattos, Fabio; Garcia, Philip; Nelson, Carl H. - NCR-134 Conference on Applied Commodity Price Analysis, … - 2005

The purpose of this study is to analyze how the introduction of a downside risk measure and less restrictive assumptions can change the optimal hedge ratio in the standard hedging problem. Based on a dataset of futures and cash prices for soybeans in the U.S., the empirical findings indicate...

Persistent link: https://www.econbiz.de/10005798624

The Impact of Marketing Strategy Information on the Producer's Selling Decision

Klumpp, Joni M.; Brorsen, B. Wade; Anderson, Kim B. - NCR-134 Conference on Applied Commodity Price Analysis, … - 2005

There is no shortage of studies regarding price forecasting and marketing strategies of producers. However, the … marketing information that they say they do. This study uses actual producer transaction data to determine how producers … marketing decisions correspond with those recommended by market advisory services and with those that use futures spreads to …

Persistent link: https://www.econbiz.de/10005798626

Price Discovery in Private Cash Forward Markets - The Case of Lumber

Sanders, Dwight R.; Manfredo, Mark R. - NCR-134 Conference on Applied Commodity Price Analysis, … - 2005

Cash forward contracting is a common, and often preferred, means of managing price risk for agribusinesses. Despite this, little is known about the performance of cash forward markets, in particular the role they play in price discovery. The lumber market provides a unique case for examining...

Persistent link: https://www.econbiz.de/10005798628

Factors Influencing the Extent of Grid Pricing of Fed Cattle

Ward, Clement E. - NCR-134 Conference on Applied Commodity Price Analysis, … - 2005

Motives for grid pricing of fed cattle have been identified in previous research. Also, estimates of grid pricing exist from feedlot surveys and data generated via mandatory price reports since 2001. However, no research has attempted to estimate factors influencing the extent of grid pricing by...

Persistent link: https://www.econbiz.de/10005798629

Wheat Forward Contract Pricing: Evidence on Forecast Power and Risk Premia

Shi, Wei; Irwin, Scott H.; Good, Darrel L.; Dietz, Sarah N. - NCR-134 Conference on Applied Commodity Price Analysis, … - 2005

While the risk premium hypothesis in futures markets has been the subject of a long and continuous controversy, the risk premium hypothesis in forward markets is also of interest among economists. The hypothesis is supported by some theoretical arguments and empirical evidence yet remains an...

Persistent link: https://www.econbiz.de/10005513139

Intermediate Volatility Forecasts Using Implied Forward Volatility: The Performance of Selected Agricultural Commodity Options

Egelkraut, Thorsten M.; Garcia, Philip - NCR-134 Conference on Applied Commodity Price Analysis, … - 2005

Options with different maturities can be used to generate an implied forward volatility, a volatility forecast for non-overlapping future time intervals. Using five commodities with varying characteristics, we find that the implied forward volatility dominates forecasts based on historical...

Persistent link: https://www.econbiz.de/10005513141

Forecasting Livestock Feed Cost Risks Using Futures and Options

Chen, Gang; Roberts, Matthew C.; Roe, Brian E. - NCR-134 Conference on Applied Commodity Price Analysis, … - 2005

The costs of corn- and soybean-based feeds compose a substantial proportion of the variable costs faced by both mainstream and emergent confined livestock producers. This research develops a method to provide a joint distribution of prices of corn and soybean meal at a future time. Black's 1976...

Persistent link: https://www.econbiz.de/10005513143

A Reality Check on Technical Trading Rule Profits in US Futures Markets

Park, Cheol-Ho; Irwin, Scott H. - NCR-134 Conference on Applied Commodity Price Analysis, … - 2005

This paper investigates the profitability of technical trading rules in US futures markets over the 1985-2004 period. To account for data snooping biases, we evaluate statistical significance of performance across technical trading rules using White's Bootstrap Reality Check test and Hansen's...

Persistent link: https://www.econbiz.de/10005459785

Style and Performance of Agricultural Market Advisory Services

Cabrini, Silvina M.; Irwin, Scott H.; Good, Darrel L. - NCR-134 Conference on Applied Commodity Price Analysis, … - 2005

This paper describes the degree of marketing activeness of market advisory programs for corn and soybeans, and analyzes … marketing programs are based on superior information and/or analytical skills. …

Persistent link: https://www.econbiz.de/10005459786