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Hog Options: Contract Redesign and Market Efficiency
Urcola, Hernan A.; Irwin, Scott H. - In: Journal of Agricultural and Applied Economics 42 (2010) 04
This article tests the efficiency of the hog options market and assesses the impact of the 1996 contract redesign on efficiency. We find that the hog options market is efficient, but some options yielded excess returns during the live hogs period but not during the lean hogs period. Our findings...
Persistent link: https://www.econbiz.de/10008853621
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Hog Options: Contract Redesign and Market Efficiency
Urcola, Hernan A.; Irwin, Scott H. - 2010
This article tests the efficiency of the hog options market and assesses the impact of the 1996 contract redesign on efficiency. We find that the hog options market is efficient, but some options yielded excess returns during the live hogs period but not during the lean hogs period. Our findings...
Persistent link: https://www.econbiz.de/10009443770
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Live and Feeder Cattle Options Markets: Returns, Risk, and Volatility Forecasting
Brittain, Lee; Garcia, Philip; Irwin, Scott H. - Department of Agricultural and Consumer Economics, … - 2009
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 options markets. In both markets, implied volatility is an upwardly biased and inefficient predictor of realized...
Persistent link: https://www.econbiz.de/10009368384
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Live and Feeder Cattle Options Markets: Returns, Risk, and Volatility Forecasting
Brittain, Lee; Garcia, Philip; Irwin, Scott H. - 2009
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...
Persistent link: https://www.econbiz.de/10009446388
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Do Composite Procedures Really Improve the Accuracy of Outlook Forecasts?
Colino, Evelyn V.; Irwin, Scott H.; Garcia, Philip - Department of Agricultural and Consumer Economics, … - 2009
This paper investigates whether the accuracy of outlook hog price forecasts can be improved using composite forecasts in an out-of-sample context. Price forecasts from four wellrecognized outlook programs are combined with futures-based forecasts, ARIMA, and unrestricted Vector Autoregressive...
Persistent link: https://www.econbiz.de/10009368379
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Do Composite Procedures Really Improve the Accuracy of Outlook Forecasts?
Colino, Evelyn V.; Irwin, Scott H.; Garcia, Philip - 2009
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)...
Persistent link: https://www.econbiz.de/10009446396
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The Marketing Performance of Illinois and Kansas Wheat Farmers
Dietz, Sarah N.; Aulerich, Nicole M.; Irwin, Scott H.; … - In: Journal of Agricultural and Applied Economics 41 (2009) 01
The purpose of this paper is to analyze the marketing performance of wheat farmers in Illinois and Kansas over 1982â … marketing performance of wheat farmers in Illinois and Kansas is about equal to the market if a 24- or 20-month market benchmark … harvest benchmark is used. The sensitivity of marketing performance to the market benchmark considered is explained by the …
Persistent link: https://www.econbiz.de/10005041379
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Devil or Angel? The Role of Speculation in the Recent Commodity Price Boom (and Bust)
Irwin, Scott H.; Sanders, Dwight R.; Merrin, Robert P. - 2009
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...
Persistent link: https://www.econbiz.de/10009446398
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Devil or Angel? The Role of Speculation in the Recent Commodity Price Boom (and Bust)
Irwin, Scott H.; Sanders, Dwight R.; Merrin, Robert P. - In: Journal of Agricultural and Applied Economics 41 (2009) 02
It is commonly asserted that speculative buying by index funds in commodity futures and over–the–counter derivatives markets created a ‘‘bubble’’ in commodity prices, with the result that prices, and crude oil prices, in particular, far exceeded...
Persistent link: https://www.econbiz.de/10005103127
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Farmer’s Income Shifting Option in Post-harvest Forward Contracting
Mallory, Mindy L.; Zhao, Wenjiao; Irwin, Scott H. - Agricultural and Applied Economics Association - AAEA - 2012
We estimate the cost of post-harvest forward contracting corn and soybeans for January and March delivery from 1980 through 2009. For both corn and soybeans we saw a downward trend in the cost of forward contract for January delivery and we conclude that the cost of forward contracting for...
Persistent link: https://www.econbiz.de/10010881173