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Forecasting Organic Food Prices: Emerging Methods for Testing and Evaluating Conditional Predictive Ability
Tatiana Gubanova, Luanne Lohr, and Timothy Park
Year: 2005
 

Abstract

Organic farmers, wholesalers, and retailers need price forecasts to improve their decision-making practices. This paper presents a methodology and protocol to select the best performing method from several time and frequency domain candidates. Weekly farm

 
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The Impact of Marketing Strategy Information on the Producer’s Selling Decision
Joni M. Klumpp, B. Wade Brorsen, and Kim B. Anderson
Year: 2005
 

Abstract

There is no shortage of studies regarding price forecasting and marketing strategies of producers. However, the majority of these studies take a normative approach, focusing on deriving an optimal strategy for producers to follow based on information rece

 
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Time-Varying Risk Premium or Informational Inefficiency? Further Evidence in Agricultural Futures Markets
Julieta Frank and Philip Garcia
Year: 2005
 

Abstract

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

 
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Sorting Cattle with Accumulated Data: What is the Accuracy and Economics
Maro A. Ibarburu and John D. Lawrence
Year: 2005
 

Abstract

Increasingly feedlots are managing cattle as individual animals rather than on a pen level basis. As such it is possible to predict an optimal marketing date for each animal. This analysis evaluates the keep-or-sell decision at reimplant time for feedlots

 
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Portfolio Diversification with Commodity Futures: Properties of Levered Futures
Thorsten M. Egelkraut, Joshua D. Woodard, Philip Garcia, and Joost M. E. Penningsa
Year: 2005
 

Abstract

This study extends previous work on the impact of commodity futures on portfolio performance by explicitly incorporating levered futures into the portfolio optimization problem. Using data on nine individual commodity futures and one aggregate index from

 
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Forecasting Livestock Feed Cost Risks Using Futures and Options
Gang Chen, Matthew C. Roberts, and Brian Roe
Year: 2005
 

Abstract

The costs of corn- and soybean-based feeds compose a substantial proportion of the variable costs faced by both mainstream and emergent confined livestock producers. This research develops a method to provide a joint distribution of prices of corn and soy

 
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Hedging Cash Flows from Commodity Processing
Roger A. Dahlgran
Year: 2005
 

Abstract

Agribusinesses make long-term plant-investment decisions based on discounted cash flow. It is therefore incongruous for an agribusiness firm to use cash flow as a plant-investment criterion and then to completely discard cash flow in favor of batch profit

 
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Effects of Price Volatility and Surging South American Soybean Production on Short-Run Soybean Basis Dynamics
Rui Zhang and Jack Houston
Year: 2005
 

Abstract

This study investigates the effects of South American production (SAP) and futures volatility on the soybean price dynamics in terms of their effects on the basis. The results of the econometric model showed that both South American production and futures

 
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A Reality Check on Technical Trading Rule Profits in US Futures Markets
Cheol-Ho Park and Scott H. Irwin
Year: 2005
 

Abstract

This paper investigates the profitability of technical trading rules in US futures markets over the 1985-2004 period. To account for data snooping biases, we evaluate statistical significance of performance across technical trading rules using White’s Boo

 
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Relaxing Standard Hedging Assumptions in the Presence of Downside Risk
Fabio Mattos, Philip Garcia, and Carl Nelson
Year: 2005
 

Abstract

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

 
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Factors Influencing the Extent of Grid Pricing of Fed Cattle
Clement E. Ward
Year: 2005
 

Abstract

Motives for grid pricing of fed cattle have been identified in previous research. Also, estimates of grid pricing exist from feedlot surveys and data generated via mandatory price reports since 2001. However, no research has attempted to estimate factors

 
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The Value of Carcass Characteristic EPDs in Bred Heifer Price
Joe L. Parcell, Kevin C. Dhuyvetter, David J. Patterson, and Richard Randle
Year: 2005
 

Abstract

This study used hedonic modeling to assess the marginal implicit value of bred heifer characteristics and of carcass characteristic expected progeny differences of bred heifer calves. Using data for 692 pens of Show-Me Replacement Heifers Inc. heifers mar

 
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Supply Effects on Price Discovery and Pricing Choice for Fed Cattle
Clement E. Ward
Year: 2005
 

Abstract

Price discovery research related to fed cattle has involved data covering a relatively small portion of the longer cattle cycle. Thus, research has not explicitly addressed the impacts alternative supply conditions have on price discovery. Additionally, l

 
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Price Discovery in Private Cash Forward Markets - The Case of Lumber
Mark R. Manfredo and Dwight R. Sanders
Year: 2005
 

Abstract

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

 
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Intermediate Volatility Forecasts Using Implied Forward Volatility: The Performance of Selected Agricultural Commodity Options
Thorsten M. Egelkraut and Philip Garcia
Year: 2005
 

Abstract

Options with different maturities can be used to generate an implied forward volatility, a volatility forecast for non-overlapping future time intervals. Using five commodities with varying characteristics, we find that the implied forward volatility domi

 
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A Test of Forecast Consistency Using USDA Livestock Price Forecasts
Dwight R. Sanders and Mark R. Manfredo
Year: 2005
 

Abstract

In traditional tests of forecast rationality, price forecasts are usually differenced to obtain stationarity. However, this data transformation may ignore important long-run information contained in forecasted price levels. Here, the concept of forecast c

 
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The Value of USDA Situation and Outlook Information in Hog and Cattle Markets
Olga Isengildina, Scott H. Irwin, and Darrel L. Good
Year: 2005
 

Abstract

The economic value of public situation and outlook information has long been a subject of debate. The purpose of this study is to investigate the economic value of USDA reports in hog and cattle markets. The investigation is based on event study analysis,

 
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Style and Performance of Agricultural Market Advisory Services
Silvina M. Cabrini, Scott H. Irwin, and Darrel L. Good
Year: 2005
 

Abstract

This paper describes the degree of marketing activeness of market advisory programs for corn and soybeans, and analyzes the relationship between activeness degree and pricing performance. The data set employed consists of advisory programs tracked by th

 
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Wheat Forward Contract Pricing: Evidence on Forecast Power and Risk Premia
Wei Shi, Scott H. Irwin, Darrel L. Good, and Sarah N. Dietz
Year: 2005
 

Abstract

While the risk premium hypothesis in futures markets has been the subject of a long and continuous controversy, the risk premium hypothesis in forward markets is also of interest among economists. The hypothesis is supported by some theoretical argume

 
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