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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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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
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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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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
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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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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
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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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THE VALUE OF USDA OUTLOOK INFORMATION: AN INVESTIGATION USING EVENT STUDY ANALYSIS
Irwin, Scott H.; Good, Darrel L.; Gomez, Jennifer K. - 2001
The economic value of public situation and outlook information has long been a subject of debate. The purpose of this paper is to investigate the economic value of USDA WASDE reports in corn and soybean markets. The investigation is based on event study analysis, with the "events" consisting of...
Persistent link: https://www.econbiz.de/10009442999