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The Marketing Performance of Illinois Corn and Soybean Producers
Lewis A. Hagedorn, Scott H. Irwin, and Darrel L. Good
Year: 2004
 

Abstract

Marketing is viewed as an important component of the farm management process, and poor marketing is often cited as a cause of low farm incomes. However, widespread beliefs about poor performance are not based upon a large body of research, and available e

 
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Portfolios of Agricultural Market Advisory Services: How Much Diversification is Enough?
Silvina M. Cabrini, Brian G. Stark, Scott H. Irwin, Darrel L. Good, and Joao Martines-Filho
Year: 2004
 

Abstract

This study analyzes the potential risk reduction gains from naïve diversification (equal-weighting) among market advisory services for corn and soybeans. The total possible decrease in risk through naïve diversification is small, mainly because advisory p

 
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Options-Based Forecasts of Futures Prices in the Presence of Limit Moves
Thorsten M. Egelkraut and Philip Garcia
Year: 2004
 

Abstract

This analysis examines a simultaneous estimation option-based approach to forecast futures prices in the presence of daily price limit moves. The procedure explicitly allows for changing implied volatilities by estimating the implied futures price and the

 
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Are Revisions to USDA Crop Production Forecasts Smoothed?
Olga Isengildina, Scott H. Irwin, and Darrel L. Good
Year: 2004
 

Abstract

This study investigates the nature of the revision process of USDA corn and soybean production forecasts over the 1970/71 through 2002/03 marketing years. Nordhaus’ framework for testing the efficiency of fixed-event forecasts is used. In this framework,

 
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Hedging-Effectiveness of Milk Futures Using Value-At-Risk Procedures
Ibrahim Bamba and Leigh Maynard
Year: 2004
 

Abstract

The effectiveness of the Class III Milk futures market is analyzed in terms of the reduction in Value-at-Risk (VaR) for milk producers located in four regions: Wisconsin, Northeast, Florida and California. Constant hedge ratios are estimated using Myers a

 
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Cash Marketing Styles and Performance Persistence of Wheat Producers
Lewis T. Cunningham Iii, B. Wade Brorsen, and Kim B. Anderson
Year: 2004
 

Abstract

Years of research have been dedicated to determining the best time for producers to sell their commodities. Researchers have developed basis models, market efficiency tests, hedging/risk models, price forecasting models, and many other models in an attemp

 
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Weather Derivatives in the Presence of Index and Geographical Basis Risk: Hedging Dairy Profit Risk
Gang Chen and Matthew C. Roberts
Year: 2004
 

Abstract

Weather conditions pose unique risks to dairy producers. Weather derivatives represent a potentially promising approach to augment dairy producers’ risk management against adverse weather events. This study examines the effect of basis risk in weather der

 
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Perceptions of Futures Market Liquidity: An Empirical Study of CBOT & CME Traders
Julia W. Marsh, Joost M.E. Pennings and Philip Garcia
Year: 2004
 

Abstract

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 liqu

 
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Accuracy of Grid Pricing: An Evaluation Using Wholesale Values of Fed Cattle
Joseph T. Kovanda, Ted C. Schroeder, and Tommy L. Wheeler
Year: 2004
 

Abstract

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 communicat

 
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Price Discovery in Thinly Traded Markets: Cash and Futures Relationships in Brazilian Agricultural Futures Markets
Fabio Mattos and Philip Garcia
Year: 2004
 

Abstract

This study investigates the relationship between cash and futures prices in the Brazilian agricultural market, focusing on the effects of trading activity on the price discovery mechanism of futures markets. The results are mixed, but several points begin

 
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Transaction Frequency, Inventories and Hedging in Commodity Processing
Roger A. Dahlgran
Year: 2004
 

Abstract

This study examines hedging strategies for commodity processors generally and soybean crushers specifically. Processors require hedging strategies built around processing multiple batches each year. Each batch requires the purchase of inputs, transformati

 
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Using Futures Prices to Forecast the Season-Average U.S. Corn Price
Linwood Hoffman
Year: 2004
 

Abstract

A model is developed using basis values (cash prices less futures), marketing weights, and a composite of monthly futures and cash prices to forecast the season-average U.S. corn farm price. Forecast accuracy measures include the absolute percentage error

 
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The Performance of Weather Derivatives in Managing Risks of Specialty Crops
Trevor A. Fleege, Timothy J. Richards, Mark R. Manfredo, and Dwight R. Sanders
Year: 2004
 

Abstract

California specialty crop growers are exposed to extreme price volatility, as well as considerable yield volatility caused by fluctuations in temperature, precipitation, and other specific weather events. Weather derivatives do provide a promising market-

 
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Evaluating Forecasts of Discrete Variables: Predicting Cattle Quality Grades
Bailey Norwood, Jayson Lusk and Wade Brorsen
Year: 2004
 

Abstract

Little research has been conducted on evaluating out-of-sample forecasts of limited dependent variables. This study describes the large and small sample properties of two forecast evaluation techniques for limited dependent variables: receiver-operator cu

 
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Re-Considering the Necessary Condition for Futures Market Efficiency: An Application to Dairy Futures
Dwight R. Sanders and Mark R. Manfredo
Year: 2004
 

Abstract

The traditional necessary condition for futures market inefficiency is the existence of alternative forecasting methods that produce mean squared forecast errors smaller than the futures market. Here, a more exacting requirement for futures market efficie

 
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Commodity Prices and Unit Root Tests
Dabin Wang and William G. Tomek
Year: 2004
 

Abstract

Endogenous variables in structural models of agricultural commodity markets are typically treated as stationary. Yet, tests for unit roots have rather frequently implied that commodity prices are not stationary. This seeming inconsistency is investigated

 
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Optimal Hedging with Views: A Bayesian Approach
Wei Shi and Scott H. Irwin
Year: 2004
 

Abstract

The optimal hedging model has become the standard theoretical model of normative hedging behavior due to its intuitive tradeo® of expected return with risk, its e±cient use of information and its easy implementation. In practice, the model can be easily i

 
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What Is “The Basis,” How Is It Measured, and Why Does It Matter?
Paul Peterson, Jack Cook, and Charles Piszczor
Year: 2004
 

Abstract

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

 
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Contract Market Viability
Gordon C. Rausser and Henry L. Bryant
Year: 2004
 

Abstract

Academia and the finance industry generate many proposals for new contract markets. Unfortunately, many proposed markets lack the critical attributes that promote success. We examine these attributes, and evaluate the potential of several announced propos

 
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Incorporating Current Information into Historical-Average-Based Forecasts to Improve Crop Price Basis Forecasts
Mykel Taylor, Kevin C. Dhuyvetter, and Terry L. Kastens
Year: 2004
 

Abstract

Being able to accurately predict basis is critical for making marketing and management decisions. Basis forecasts can be used along with futures prices to provide cash price projections. Additionally, basis forecasts are needed to evaluate hedging opportu

 
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Captive Supply Trends and Impacts since the Advent of Mandatory Price Reporting
Clement E. Ward and Jonathan T. Hornung
Year: 2004
 

Abstract

Captive supplies have been a contentious issue in the livestock industry for fifteen years and the subject of both theoretical and empirical research. In 2001, mandatory price reporting was implemented. One objective by its proponents was to increase the

 
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Performance of Selected Pre-harvest and Post-harvest Corn and Soybean Marketing Strategies vs. Alternative Market Benchmarks
E. Neal Blue, Robert N. Wisner, and E. Dean Baldwin
Year: 2004
 

Abstract

This study was undertaken to update earlier work by the authors that analyzed selected preharvest pricing strategies utilizing options markets to establish a price floor for part of the crop in the spring, with additional pricing done by use of short hedg

 
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The Profitability of Technical Trading Rules in US Futures Markets: A Data Snooping Free Test
Cheol-Ho Park and Scott H. Irwin
Year: 2004
 

Abstract

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, skeptici

 
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Generalized Hedge Ratio Estimation With an Unkown Model
Jeffrey H. Dorfman and Dwight R. Sanders
Year: 2004
 

Abstract

Myers and Thompson (1989) pioneered the concept of a generalized approach to estimating hedge ratios, pointing out that the model specification could have a large impact on the hedge ratio estimated. While a huge empirical literature exists on estimating

 
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