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Relationships among Prices across Alternative Marketing Arrangements for Fed Cattle and Hogs

Lee, Yoonsuk; Ward, Clement E.; Brorsen, B. Wade - Southern Agricultural Economics Association - SAEA - 2010

Reduced reliance on cash market prices for fed cattle and hogs raise questions about the role of cash prices in price discovery. We use seven years of weekly data from mandatory price reports to determine whether or not cash market prices are cointegrated with other procurement prices and then...

Persistent link: https://www.econbiz.de/10008922567

ACTUAL FARMER MARKET TIMING

Brorsen, B. Wade; Anderson, Kim B. - NCR-134 Conference on Applied Commodity Price Analysis, … - 2002

the market. Thus, there does not seem to be a great need for producers to hire a market advisor to do their marketing for …

Persistent link: https://www.econbiz.de/10005807438

CAN STRUCTURAL CHANGE EXPLAIN CHANGES IN RETURNS TO TECHNICAL ANALYSIS?

Kidd, Willis V.; Brorsen, B. Wade - NCR-134 Conference on Applied Commodity Price Analysis, … - 2002

Returns to managed futures funds and Commodity Trading Advisors (CTAs) have decreased dramatically during the last several years. Since these funds overwhelmingly use technical analysis, this research examines futures prices to determine if there is evidence of a structural change in futures...

Persistent link: https://www.econbiz.de/10005807441

INCREASING THE ACCURACY OF OPTION PRICING BY USING IMPLIED PARAMETERS RELATED TO HIGHER MOMENTS

Ji, Dasheng; Brorsen, B. Wade - NCR-134 Conference on Applied Commodity Price Analysis, … - 2000

The inaccuracy of the Black-Scholes formula arises from two aspects: the formula is for European options while most real option contracts are American; the formula is based on the assumption that underlying asset prices follow a lognormal distribution while in the real world asset prices cannot...

Persistent link: https://www.econbiz.de/10005807877

Transition to electronic trading of Kansas City Board of Trade wheat futures

Shah, Samarth; Brorsen, B. Wade - Southern Agricultural Economics Association - SAEA - 2010

This study compares liquidity costs and other characteristics of electronic and open outcry hard red winter wheat futures contracts traded on the Kansas City Board of Trade. Liquidity costs are considerably lower in the electronic market than in the open outcry market. A new approach is used to...

Persistent link: https://www.econbiz.de/10008922444

Optimal Length of Moving Average to Forecast Futures Basis

Hatchett, Robert B.; Brorsen, B. Wade; Anderson, Kim B. - Department of Agricultural and Consumer Economics, … - 2009

Futures prices when combined with a basis forecast provide a reliable way to forecast cash prices. The most popular method of forecasting basis is historical moving averages. Given the recent failure of longer moving averages proposed by previous studies, this research reassesses past...

Persistent link: https://www.econbiz.de/10009368378

Discussion: Agricultural Commodities and Agribusiness Stocks as Financial Assets

Brorsen, B. Wade - In: Journal of Agricultural and Applied Economics 44 (2012) 03

Nonfarm investors might benefit from diversifying their portfolios by investing in the agricultural sector. Such diversifying investments could include investments in agricultural stocks or long-only futures positions through index funds. The papers in this session investigate the...

Persistent link: https://www.econbiz.de/10010880438

CASH MARKETING STYLES AND PERFORMANCE PERSISTENCE OF WHEAT PRODUCERS

Cunningham, Lewis T.; Brorsen, B. Wade; Anderson, Kim B. - 2004

paper first measures the extent to which producers display an active or mechanical marketing style using individual farmer … sales. Next, tests of performance persistence are conducted to determine if there is any advantage to an active marketing … style. The results show that southern Oklahoma wheat producers tend to have a mechanical marketing style, while at other …

Persistent link: https://www.econbiz.de/10009442970

INCREASING THE ACCURACY OF OPTION PRICING BY USING IMPLIED PARAMETERS RELATED TO HIGHER MOMENTS

Ji, Dasheng; Brorsen, B. Wade - 2000

Persistent link: https://www.econbiz.de/10009443000

HEDGING CARCASS BEEF TO REDUCE THE SHORT-TERM PRICE RISK OF MEAT PACKERS

Bailey, DeeVon; Brorsen, B. Wade - In: Western Journal of Agricultural Economics 10 (1985) 02

Hedging in the live cattle futures market has largely been viewed as a method of reducing producer's price over a rather lengthy production period (three to six months). Meat packers and processors also face price risk. However, packers' and processors' price risk lies on the upside (i.e., risk...

Persistent link: https://www.econbiz.de/10005522763