Showing 1 - 7 of 7
In response to the development of the U.S. ethanol industry, the Chicago Board of Trade (CBOT)launched the ethanol futures contract in March 2005. This contract is promoted by the CBOT asallowing ethanol producers to hedge corn crushing using strategies similar to those used insoybean crushing....
Persistent link: https://www.econbiz.de/10009443333
This study focuses on hedging effectiveness defined as the proportionate price risk reduction created by hedging. By mathematical and simulation analysis we determine the following: (a) the regression R2 in the hedge ratio regression will generally overstate the amount of price risk reduction...
Persistent link: https://www.econbiz.de/10009443344
Hedging effectiveness is the proportion of price risk removed through hedging. Empiricalhedging studies typically estimate a set of risk minimizing hedge ratios, estimate the hedgingeffectiveness statistic, apply the estimated hedge ratios to a second group of data, and examinethe robustness of...
Persistent link: https://www.econbiz.de/10009446391
This study focuses on hedging effectiveness defined as the proportionate price risk reduction created by hedging. By mathematical and simulation analysis we determine the following: (a) the regression R2 in the hedge ratio regression will generally overstate the amount of price risk reduction...
Persistent link: https://www.econbiz.de/10005483551
Hedging effectiveness is the proportion of price risk removed through hedging. Empirical hedging studies typically estimate a set of risk minimizing hedge ratios, estimate the hedging effectiveness statistic, apply the estimated hedge ratios to a second group of data, and examine the robustness...
Persistent link: https://www.econbiz.de/10009368376
In response to the development of the U.S. ethanol industry, the Chicago Board of Trade (CBOT) launched the ethanol futures contract in March 2005. This contract is promoted by the CBOT as allowing ethanol producers to hedge corn crushing using strategies similar to those used in soybean...
Persistent link: https://www.econbiz.de/10004989180
Recently developed ethanol futures contracts now allow direct-hedging by ethanol producers. This study examines the effectiveness of one-through eight-week hedges between 2005 and 2008. Our findings show (a) ethanol inventory hedging effectiveness is significant for two-week and longer hedges,...
Persistent link: https://www.econbiz.de/10004991683