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Commodity futures market reaction to anticipated public reports: Frozen pork bellies
Yang, Li - 1996
This study investigates the reaction of the frozen pork bellies futures market to the release of inventory information. Knight-Ridder releases their analysts' forecasts of the USDA estimate two days prior to the estimate provided by the USDA. A rational expectations model is developed to study...
Persistent link: https://www.econbiz.de/10009484421
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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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Risk Attitude & the Structure of Decision Making: Evidence from the Hog Industry
Franken, Jason R.V.; Pennings, Joost M.E.; Garcia, Philip - Agricultural and Applied Economics Association - AAEA - 2011
for owner-managers making marketing decisions. We assess whether managerial/firm characteristics directly affect the …
Persistent link: https://www.econbiz.de/10009021488
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Time-Varying Risk Premium or Informational Inefficiency? Further Evidence in Agricultural Futures Markets
Frank, Julieta; Garcia, Philip - 2005
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 underlying data. Specifically, we...
Persistent link: https://www.econbiz.de/10009442966
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The Value of USDA Situation and Outlook Information in Hog and Cattle Markets
Isengildina, Olga; Irwin, Scott H.; Good, Darrel L. - 2005
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, with the "events" consisting of the...
Persistent link: https://www.econbiz.de/10009442967
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Wheat Forward Contract Pricing: Evidence on Forecast Power and Risk Premia
Shi, Wei; Irwin, Scott H.; Good, Darrel L.; Dietz, Sarah N. - 2005
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 arguments and empirical evidence yet remains an...
Persistent link: https://www.econbiz.de/10009442969
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OPTIMAL HEDGING WITH VIEWS: A BAYESIAN APPROACH
Shi, Wei; Irwin, Scott H. - 2004
The optimal hedging model has become the standard theoretical model of normative hedging behavior due to its intuitive tradeoff of expected return with risk, its effcient use of information and its easy implementation. In practice, the model can be easily implemented with the Parameter Certainty...
Persistent link: https://www.econbiz.de/10009442977
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Are Corn and Soybean Options Too Expensive?
Urcola, Hernan A.; Irwin, Scott H. - 2006
A growing body of recent evidence suggests that premiums for financial options might be too high. For agricultural options, market participants often make similar claims, however there is very limited scientific literature to prove or disprove such claims. This research investigates the...
Persistent link: https://www.econbiz.de/10009442979
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Should Farmers Follow the Recommendations of Market Advisory Services? A Bayesian Approach to Performance Evaluation
Cabrini, Silvina M.; Good, Darrel L.; Irwin, Scott H. - 2006
marketing recommendations. Results indicate that even when skeptical beliefs are incorporated into the model a few programs in … corn and several programs in soybeans appear to be better marketing alternative compared to a naïve strategy that mimics …
Persistent link: https://www.econbiz.de/10009442981
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FUTURES MARKET DEPTH: REVEALED VS. PERCEIVED PRICE ORDER IMBALANCES
Pennings, Joost M.E.; Garcia, Philip; Marsh, Julia W. - 2003
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 the price path due to order imbalances is...
Persistent link: https://www.econbiz.de/10009442984