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Relationships among Prices across Alternative Marketing Arrangements for Fed Cattle and Hogs

Lee, Yoonsuk; Ward, Clement E.; Brorsen, B. Wade - Southern Agricultural Economics Association - SAEA - 2010

Reduced reliance on cash market prices for fed cattle and hogs raise questions about the role of cash prices in price discovery. We use seven years of weekly data from mandatory price reports to determine whether or not cash market prices are cointegrated with other procurement prices and then...

Persistent link: https://www.econbiz.de/10008922567

Grocery Retailer Pricing Behavior for California Avocados with Implications for Industry Promotion Strategies

Li, Lan; Carman, Hoy F.; Sexton, Richard J. - 2006

Rising concentration and consolidation of sales among large supermarket chains in the U.S. and other countries, due in part to a recent wave of mergers in food retailing, have made retailers' role in the food industry a topical issue. Using a unique micro dataset, this paper investigates...

Persistent link: https://www.econbiz.de/10009442509

Grocery Retailer Pricing Behavior for California Avocados with Implications for Industry Promotion Strategies

Li, Lan; Carman, Hoy F.; Sexton, Richard J. - 2005

Replaced with revised version of paper 07/20/05.

Persistent link: https://www.econbiz.de/10009442903

THE INFORMATION CONTENT OF IMPLIED VOLATILITY FROM OPTIONS ON AGRICULTURAL FUTURES CONTRACTS

Manfredo, Mark R.; Sanders, Dwight R. - 2002

Agricultural risk managers need forecasts of price volatility that are accurate and meaningful. This is especially true given the greater emphasis on firm level risk measurement and management (e.g., Value-at-Risk and Enterprise Risk Management). Implied volatility is known to provide a readily...

Persistent link: https://www.econbiz.de/10009442962

Price Discovery in Private Cash Forward Markets - The Case of Lumber

Sanders, Dwight R.; Manfredo, Mark R. - 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/10009442968

CASH MARKETING STYLES AND PERFORMANCE PERSISTENCE OF WHEAT PRODUCERS

Cunningham, Lewis T.; Brorsen, B. Wade; Anderson, Kim B. - 2004

paper first measures the extent to which producers display an active or mechanical marketing style using individual farmer … sales. Next, tests of performance persistence are conducted to determine if there is any advantage to an active marketing … style. The results show that southern Oklahoma wheat producers tend to have a mechanical marketing style, while at other …

Persistent link: https://www.econbiz.de/10009442970

GENERALIZED HEDGE RATIO ESTIMATION WITH AN UNKNOWN MODEL

Dorfman, Jeffrey H.; Sanders, Dwight R. - 2004

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 hedge ratios, the literature is lacking a...

Persistent link: https://www.econbiz.de/10009442973

INCREASING THE ACCURACY OF OPTION PRICING BY USING IMPLIED PARAMETERS RELATED TO HIGHER MOMENTS

Ji, Dasheng; Brorsen, B. Wade - 2000

The inaccuracy of the Black-Scholes formula arises from two aspects: the formula is for European options while most real option contracts are American; the formula is based on the assumption that underlying asset prices follow a lognormal distribution while in the real world asset prices cannot...

Persistent link: https://www.econbiz.de/10009443000

DOES THE CFTC COMMITMENTS OF TRADERS REPORT CONTAIN USEFUL INFORMATION?

Sanders, Dwight R.; Boris, Keith - 2000

The Commodity Futures Trading Commission's Commitments of Traders data are examined. Non-commercial positions are thought to contain the least amount of measurement error. Although non-commercials comprise a relatively small percent of the tested markets' open interest (10% to 22%), they have...

Persistent link: https://www.econbiz.de/10009443007

Impacts of Retailers’ Pricing Strategies for Produce Commodities on Farmer Welfare

Li, Chenguang; Sexton, Richard J. - 2009

The typical model of retail pricing for produce products assumes retailers set price equal to the farm price plus a certain markup. However, observations from scanner data indicate a large degree of price dispersion in the grocery retailing market. In addition to markup pricing behavior, we...

Persistent link: https://www.econbiz.de/10009444824

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