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...

In this paper we study futures market depth by examining the price path due to order imbalances thereby allowing us to directly gain insight in the execution costs due to a lack of market depth We propose a two dimensional market depth measure in which the price path due to order imbalances is...

Options with different maturities can be used to generate volatility estimates for non-overlapping future time intervals. This paper develops the term structure of volatility implied by corn futures options, and evaluates the informational content of the implied forward volatility as a predictor...

Financial research indicates that several firm characteristics are related to the use of derivatives. Less attention has been paid to the role of the characteristics of managers, which are particularly important when studying derivative usage of small and medium sized enterprises (SMEs). In this...

In developing optimal hedge ratios for the soybean processing margin, many authors have illustrated the importance of considering the interactions between the cash and futures prices for soybeans, soybean oil, and soybean meal. Conditional as well as time-varying hedge ratios have been examined,...

Understanding the determinants of liquidity costs in agricultural futures markets ishampered by a need to use proxies for the bid-ask spread which are often biased, and by a failure to account for a jointly determined micro-market structure. We estimate liquidity costs and its determinants for...

Three attributes of futures contract behavior important for market performance—liquidity, volatility, and convergence—are investigated before and after the 2005 increase in speculative position limits for corn, soybean, and wheat contracts at the Chicago Board of Trade. The analysis of...

Basis risk has been cited as a primary concern for implementing weather hedges. This studyinvestigates several dimensions of weather basis risk for the U.S. corn market at variouslevels of aggregation. The results suggest that while the degree of geographic basis risk maybe significant in some...

During the last years, low price products (e.g., private label) gain increasing market shares in theGerman meat market. Compared to other countries the share of branded meat from integratedproduction chains is very low and most fresh meat is sold unlabelled. This study analyzes theadvantages of...

This paper investigates the dynamics of sequential decision-making in agricultural futures andoptions markets using a quantile regression framework. Analysis of trading records of 12 traderssuggests that there is great heterogeneity in individual trading behavior. Traders responddifferently to...