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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

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

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

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

Unobserved Heterogeneity: Evidence and Implications for SMEs' Hedging Behavior

Pennings, Joost M.E.; Garcia, Philip - 2001

Financial research indicates that several firm characteristics are related to the use of derivatives. Less attention has been paid to the role of the characteristics of managers, which are particularly important when studying derivative usage of small and medium sized enterprises (SMEs). In this...

Persistent link: https://www.econbiz.de/10009442996

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

Strategic Interactions, Risks and Coordination Costs in Food Marketing Channels: The Mediating Role of Futures Markets

Kuwornu, John K.M.; Kuiper, W. Erno; Pennings, Joost M.E.; … - 2006

We examine the interaction of marketing channel members and the influence of these interactions on incentives …, coordination costs, and risk allocation strategies in a food marketing channel. For this purpose we specify a three-stage principal …-agent marketing channel model involving producers, wholesalers, retailers and a futures market. We compare the situation with and …

Persistent link: https://www.econbiz.de/10009445153

Devil or Angel? The Role of Speculation in the Recent Commodity Price Boom (and Bust)

Irwin, Scott H.; Sanders, Dwight R.; Merrin, Robert P. - 2009

It is commonly asserted that speculative buying by index funds in commodity futures andover–the–counter derivatives markets created a ‘‘bubble’’ in commodity prices, with the resultthat prices, and crude oil prices, in particular, far exceeded fundamental values at the peak.The...

Persistent link: https://www.econbiz.de/10009446398

Financialization and Structural Change in Commodity Futures Markets

Irwin, Scott H.; Sanders, Dwight R. - In: Journal of Agricultural and Applied Economics 44 (2012) 03

The first decade of the 21st century has perhaps witnessed more structural change in commodity futures markets than all previous decades combined. Not only have trading volumes and open interest increased markedly, but this time period also saw historic changes in both trading and participants....

Persistent link: https://www.econbiz.de/10010914320