The economic value of public situation and outlook information has long been a subject of debate. The purpose of this study is to investigate the economic value of USDA reports in hog and cattle markets. The investigation is based on event study analysis, with the "events" consisting of the...

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...

The optimal hedging model has become the standard theoretical model of normative hedging behavior due to its intuitive tradeoff of expected return with risk, its effcient use of information and its easy implementation. In practice, the model can be easily implemented with the Parameter Certainty...

A growing body of recent evidence suggests that premiums for financial options might be too high. For agricultural options, market participants often make similar claims, however there is very limited scientific literature to prove or disprove such claims. This research investigates the...

The economic value of public situation and outlook information has long been a subject of debate. The purpose of this paper is to investigate the economic value of USDA WASDE reports in corn and soybean markets. The investigation is based on event study analysis, with the "events" consisting of...

This study uses the newly available data from the CFTC to investigate the market impact of futures trading by large hedge funds and CTAs. Regression results show that there is a positive relationship between the trading volume of large hedge funds and CTAs and market volatility. However, a...

The paper examines empirical returns from holding thirty- and ninety-day call and put positions,and the forecasting performance of implied volatility in the live and feeder cattle optionsmarkets. In both markets, implied volatility is an upwardly biased and inefficient predictor ofrealized...

This paper investigates whether the accuracy of outlook hog price forecasts can be improvedusing composite forecasts in an out-of-sample context. Price forecasts from four wellrecognizedoutlook programs are combined with futures-based forecasts, ARIMA, andunrestricted Vector Autoregressive (VAR)...

It is commonly asserted that speculative buying by index funds in commodity futures andover–the–counter derivatives markets created a ‘‘bubble’’ in commodity prices, with the resultthat prices, and crude oil prices, in particular, far exceeded fundamental values at the peak.The...