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| Calendar vs. Weeks to Expiration Livestock Basis Forecasts: Which Is Better?
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| Glynn T. Tonsor, James R. Mintert, and Kevin C. Dhuyvetter |
| Year: 2003 |
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Abstract
The ability to accurately forcast basis is crucial to risk management strategies employed by many agribusiness firms. Previous research has examined how to effectively use basis forecasts and what factors affect basis, but literature focusing on forecasti
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Click here for a copy of the paper in Adobe's PDF format.
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| Using Private Risk Management Instruments to Manage Counter-Cyclical Payment Risks Under the New Farm Bill
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| John D. Anderson, Keith H. Coble, and J. Corey Miller |
| Year: 2003 |
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Abstract
This research evaluates whether or not hedging strategies using call options on the New York Board of Trade cotton futures can be effectively used to protect the new counter-cyclical payment on cotton. Results indicate that some level of counter-cyclical
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Click here for a copy of the paper in Adobe's PDF format.
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| The Term Structure of Implied Forward Volatility: Recovery and Informational Content in the Corn Options Market
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| Thorsten M. Egelkraut, Philip Garcia, and Bruce J. Sherrick |
| Year: 2003 |
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Abstract
Options with different maturities can be used to generate volatility estimates for non-overlapping future time intervals. This paper develops the term structure of volatility implied by corn futures options, and evaluates the informational content of the
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Click here for a copy of the paper in Adobe's PDF format.
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| Market Integration: Case Studies of Structural Change
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| Jason R.V. Franken and Joe L. Parcell |
| Year: 2003 |
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Abstract
The grain/oilseed industry is undergoing considerable structural change in the form of mergers and the addition of new processing facilities to add value beyond commodity grade. The rapid structural changes in this industry call into question the relevanc
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Click here for a copy of the paper in Adobe's PDF format.
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| Managing Dairy Profit Risk Using Weather Derivatives
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| Gang Chen, Matthew C. Roberts, and Cameron Thraen |
| Year: 2003 |
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Abstract
Weather conditions are the primary dairy production risk. Hot and humid weather induces heat stress, which reduces both the quantity and quality of milk production. Traditional heat abatement technologies control the environment through ventilation, misti
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Click here for a copy of the paper in Adobe's PDF format.
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| An ARCH Analysis of The Hedging Performance of Imminently Maturing Future contracts
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| Roger A. Dahlgran |
| Year: 2003 |
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Abstract
Hedge ratio estimation studies avoid estimating hedge ratios for imminently maturing futures contracts because of the maturity effect whereby futures price volatility increases as price uncertainty is resolved at contract expiration. This study first poin
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Click here for a copy of the paper in Adobe's PDF format.
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| USDA Interval Forecasts of Corn and Soybean Prices: Overconfidence or Rational Inaccuracy?
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| Olga Isengildina, Scott H. Irwin, and Darrel L. Good |
| Year: 2003 |
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Abstract
The USDA WASDE (World Agricultural Supply and Demand Estimates) price forecasts are published in the form of an interval, but typically analyzed as point estimates. Thus, all information about uncertainty imbedded in the forecast is ignored. The purpose o
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Click here for a copy of the paper in Adobe's PDF format.
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| The Feasibility of a Boxed Beef Futures Contract: Hedging Wholesale Beef Cuts
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| Fabio Mattos, Philip Garcia, Raymond Leuthold, and Tony Hahn |
| Year: 2003 |
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Abstract
The purpose of this paper is to investigate the feasibility of a new futures contract for hedging wholesale transactions in the beef industry based on the USDA boxed beef cutout index (BBCO). The results suggest the live cattle futures contract is not an
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Click here for a copy of the paper in Adobe's PDF format.
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| Pricing Weather Derivatives for Agricultural Risk Management
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| Timothy J. Richards,* Mark R. Manfredo, and Dwight R. Sanders |
| Year: 2003 |
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Abstract
Existing derivative pricing methods cannot be used to price weather derivatives due to the absence of a hedgeable commodity underlying weather risk and the complexity of weather processes. This study develops a pricing model that considers weather derivat
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Click here for a copy of the paper in Adobe's PDF format.
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| Information Cascades with Financial Market Professionals: An Experimental Study
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| Jonathan E. Alevy, Michael S. Haigh, and John A. List |
| Year: 2003 |
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Abstract
In settings where there is imperfect information about an underlying state of nature, but where inferences are made sequentially and are publicly observable, information cascades can lead to rational herding. Cascade phenomena may be seen in a variety of
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Click here for a copy of the paper in Adobe's PDF format.
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| Technical Analysis in Commodity Markets: Risk, Returns, and Value
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| Matthew C. Roberts |
| Year: 2003 |
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Abstract
Although there is little academic research that supports the usefulness of technical analysis, its use remains widespread in commodity markets. Much prior research into technical analysis suffered from data-snooping biases. Using genetic programming, ex a
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Click here for a copy of the paper in Adobe's PDF format.
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| Spatial Competition and Pricing in the Agricultural Chemical Industry: Empirical Evidence from Georgia
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| R. Lee Hall, Jeffrey H. Dorfman, and Lewell F. Gunter |
| Year: 2003 |
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Abstract
Three models of spatial competition are tested on retail price data for the agricultural chemical industry. Three empirical tests find no evidence of any spatial competition using data from sixty-five retailers and twelve different chemicals. Demand and s
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Click here for a copy of the paper in Adobe's PDF format.
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| Comparing the Performances of the Partial Equilibrium and Time-Series Approaches to Hedging
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| Henry L. Bryant and Michael S. Haigh |
| Year: 2003 |
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Abstract
This research compares partial equilibrium and statistical time-series approaches to hedging. The finance literature stresses the former approach, while the applied economics literature has focused on the latter. We compare the out-of-sample hedging effec
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Click here for a copy of the paper in Adobe's PDF format.
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| Market Dynamics Associated with a Beefpacking Plant Closing and a Porkpacking Plant Opening
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| Jonathan T. Hornung and Clement E. Ward |
| Year: 2003 |
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Abstract
Previous research has estimated price effects of meat packing plant closings and openings. However, none have been done for plants opening or closing during the last 20 years ago when concentration in meatpacking increased rapidly. Plant openings and clos
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Click here for a copy of the paper in Adobe's PDF format.
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| Futures Market Depth: Revealed vs. Perceived Price Order Imbalances
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| Joost M.E. Pennings, Philip Garcia, and Julia W. Marsh |
| Year: 2003 |
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Abstract
In this paper we study futures market depth by examining the price path due to order imbalances thereby allowing us to directly gain insight in the execution costs due to a lack of market depth We propose a two dimensional market depth measure in which th
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Click here for a copy of the paper in Adobe's PDF format.
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| Keep up the Good Work? An Evaluation of the USDA’s Livestock Price Forecasts
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| Dwight R. Sanders and Mark R. Manfredo |
| Year: 2003 |
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Abstract
One step-ahead forecasts of quarterly live cattle, live hog, and broiler prices are evaluated under two general approaches: accuracy-based measures and the ability to categorize price movements directionally or within a forecasted range. Results suggest U
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Click here for a copy of the paper in Adobe's PDF format.
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| Risk Management Techniques for Agricultural Cooperatives: An Empirical Evaluation
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| Mark Manfredo, Timothy Richards, and Scott Mcdermott |
| Year: 2003 |
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Abstract
While not ignoring risk, agricultural cooperatives tend to accommodate risk through the holding of internal capital reserves rather than engage in active risk management. A lack of information regarding the risk, returns, and the effect on cooperative fin
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Click here for a copy of the paper in Adobe's PDF format.
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| Evaluation of Market Advisory Service Performance in Hogs
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| Rick L. Webber, Scott H. Irwin, Darrel L. Good, and Joao Martines-Filho |
| Year: 2003 |
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Abstract
The purpose of this paper is to investigate the pricing performance of agricultural market advisory services in hogs. Pricing recommendations are available for all quarters from the beginning of 1995 through the end of 2001. The results show that average
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Click here for a copy of the paper in Adobe's PDF format.
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| Price Premiums from a Certified Feeder Calf Preconditioning Program
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| Clement E. Ward and David L. Lalman |
| Year: 2003 |
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Abstract
Preconditioning calf programs, while not new, are becoming more prevalent. They provide benefits to cow-calf producers while adding value for feeder cattle buyers. However, questions remain regarding the marginal returns from marketing preconditioned calv
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Click here for a copy of the paper in Adobe's PDF format.
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| Determinants of Beef and Pork Brand Equity
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| Joe L. Parcell and Ted Schroeder |
| Year: 2003 |
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Abstract
A set of consumer-level characteristic demand models were estimated to determine the level of brand equity for pork and beef meat cuts. Results indicate that brand premiums and discounts vary by private, national, and store brands; and brand equity varies
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Click here for a copy of the paper in Adobe's PDF format.
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