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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

PERFORMANCE OF SELECTED PRE-HARVEST AND POST-HARVEST CORN AND SOYBEAN MARKETING STRATEGIES VS. ALTERNATIVE MARKET BENCHMARKS

Blue, E. Neal; Wisner, Robert N.; Baldwin, E. Dean - NCR-134 Conference on Applied Commodity Price Analysis, … - 2004

forward pricing by farmers, the emergence of new pre-harvest marketing tools focusing on late winter and spring pricing … both their pre-harvest and post-harvest marketing skills. …

Persistent link: https://www.econbiz.de/10005801177

EVALUATING FORECASTS OF DISCRETE VARIABLES: PREDICTING CATTLE QUALITY GRADES

Brorsen, B. Wade; Lusk, Jayson L.; Norwood, F. Bailey - NCR-134 Conference on Applied Commodity Price Analysis, … - 2004

forecasts of fed-cattle quality grades, the forecast evaluation methods are shown to increase cattle marketing revenues by $2 …

Persistent link: https://www.econbiz.de/10005801178

THE PROFITABILITY OF TECHNICAL TRADING RULES IN US FUTURES MARKETS: A DATA SNOOPING FREE TEST

Park, Cheol-Ho; Irwin, Scott H. - NCR-134 Conference on Applied Commodity Price Analysis, … - 2004

Numerous empirical studies have investigated the profitability of technical trading rules in a wide variety of markets, and many of them found positive profits. Despite positive evidence about profitability and improvements in testing procedures, skepticism about technical trading profits...

Persistent link: https://www.econbiz.de/10005801179

ACCURACY OF GRID PRICING: AN EVALUATION USING WHOLESALE VALUES OF FED CATTLE

Kovanda, Joseph T.; Schroeder, Ted C.; Wheeler, Tommy L. - NCR-134 Conference on Applied Commodity Price Analysis, … - 2004

Grid pricing is one of the beef industry's answers to improving value coordination in fed cattle transactions. This paper constructs individual carcass-level grid and wholesale beef values. These values are used to evaluate the level of value communication that occurs between wholesale and grid...

Persistent link: https://www.econbiz.de/10005801180

WHAT IS "THE BASIS," HOW IS IT MEASURED, AND WHY DOES IT MATTER?

Peterson, Paul E.; Cook, Jack; Piszczor, Charles - NCR-134 Conference on Applied Commodity Price Analysis, … - 2004

Basis behavior is generally considered to be the major determinant of hedging success or failure. In the course of our work as contract designers for Chicago Mercantile Exchange Inc., we have come to the conclusion that there are many misconceptions and incorrect statements made about "the...

Persistent link: https://www.econbiz.de/10005801183

PERCEPTIONS OF FUTURES MARKET LIQUIDITY: AN EMPIRICAL STUDY OF CBOT & CME TRADERS

Marsh, Julia W.; Pennings, Joost M.E.; Garcia, Philip - NCR-134 Conference on Applied Commodity Price Analysis, … - 2004

Traders' perceptions drive their market behavior, and can influence the dynamics of liquidity. This study surveyed 420 traders on their perceptions of the price path during an order imbalance to better understand the dynamics of liquidity. While most liquidity models assume a linear price path,...

Persistent link: https://www.econbiz.de/10005801184