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Hog Options: Contract Redesign and Market Efficiency

Urcola, Hernan A.; Irwin, Scott H. - 2010

This article tests the efficiency of the hog options market and assesses the impact of the 1996 contract redesign on efficiency. We find that the hog options market is efficient, but some options yielded excess returns during the live hogs period but not during the lean hogs period. Our findings...

Persistent link: https://www.econbiz.de/10009443770

Live and Feeder Cattle Options Markets: Returns, Risk, and Volatility Forecasting

Brittain, Lee; Garcia, Philip; Irwin, Scott H. - 2009

The paper examines empirical returns from holding thirty- and ninety-day call and put positions,and the forecasting performance of implied volatility in the live and feeder cattle optionsmarkets. In both markets, implied volatility is an upwardly biased and inefficient predictor ofrealized...

Persistent link: https://www.econbiz.de/10009446388

Do Composite Procedures Really Improve the Accuracy of Outlook Forecasts?

Colino, Evelyn V.; Irwin, Scott H.; Garcia, Philip - 2009

This paper investigates whether the accuracy of outlook hog price forecasts can be improvedusing composite forecasts in an out-of-sample context. Price forecasts from four wellrecognizedoutlook programs are combined with futures-based forecasts, ARIMA, andunrestricted Vector Autoregressive (VAR)...

Persistent link: https://www.econbiz.de/10009446396

Farmer’s Income Shifting Option in Post-harvest Forward Contracting

Mallory, Mindy L.; Zhao, Wenjiao; Irwin, Scott H. - Agricultural and Applied Economics Association - AAEA - 2012

We estimate the cost of post-harvest forward contracting corn and soybeans for January and March delivery from 1980 through 2009. For both corn and soybeans we saw a downward trend in the cost of forward contract for January delivery and we conclude that the cost of forward contracting for...

Persistent link: https://www.econbiz.de/10010881173

Do Composite Procedures Really Improve the Accuracy of Outlook Forecasts?

Colino, Evelyn V.; Irwin, Scott H.; Garcia, Philip - Department of Agricultural and Consumer Economics, … - 2009

This paper investigates whether the accuracy of outlook hog price forecasts can be improved using composite forecasts in an out-of-sample context. Price forecasts from four wellrecognized outlook programs are combined with futures-based forecasts, ARIMA, and unrestricted Vector Autoregressive...

Persistent link: https://www.econbiz.de/10009368379

Live and Feeder Cattle Options Markets: Returns, Risk, and Volatility Forecasting

Brittain, Lee; Garcia, Philip; Irwin, Scott H. - Department of Agricultural and Consumer Economics, … - 2009

The paper examines empirical returns from holding thirty- and ninety-day call and put positions, and the forecasting performance of implied volatility in the live and feeder cattle options markets. In both markets, implied volatility is an upwardly biased and inefficient predictor of realized...

Persistent link: https://www.econbiz.de/10009368384

The Marketing Performance of Illinois and Kansas Wheat Farmers

Dietz, Sarah N.; Aulerich, Nicole M.; Irwin, Scott H.; … - Department of Agricultural and Consumer Economics, … - 2008

The purpose of this paper is to investigate the marketing performance of wheat farmers in Illinois and Kansas over 1982 … average difference between farmer and market benchmark prices are sensitive to the market benchmark considered. Marketing … benchmark is used. The sensitivity of marketing performance to the market benchmark considered is explained by the seasonal …

Persistent link: https://www.econbiz.de/10005804781

Portfolios of Agricultural Market Advisory Services: How Much Diversification is Enough?

Cabrini, Silvina M.; Stark, Brian G.; Irwin, Scott H.; … - In: Journal of Agricultural and Applied Economics 37 (2005) 01

This study analyzes the potential risk-reduction gains from naïve diversification among market advisory services for corn and soybeans. The total possible decrease in risk through naïve diversification is small, mainly because advisory prices are highly correlated on average. Moreover, because...

Persistent link: https://www.econbiz.de/10005041426

Hog Options: Contract Redesign and Market Efficiency

Urcola, Hernan A.; Irwin, Scott H. - In: Journal of Agricultural and Applied Economics 42 (2010) 04

Persistent link: https://www.econbiz.de/10008853621