This research compares partial equilibrium and statistical time-series approaches to hedging. The finance literature stresses the former approach, while the applied economics literature has focused on the latter. We compare the out-of-sample hedging effectiveness of the two approaches when...

The purpose of this paper is to investigate the feasibility of a new futures contract for hedging wholesale transactions in the beef industry based on the USDA boxed beef cutout index (BBCO). The results suggest the live cattle futures contract is not an adequate tool to manage the price risk of...

The ability to accurately forecast basis is crucial to risk management strategies employed by many agribusiness firms. Previous research has examined how to effectively use basis forecasts and what factors affect basis, but literature focusing on forecasting basis is sparse. This research...

Numerous empirical studies have investigated the profitability of technical trading rules in a wide variety of markets, and many of them found positive profits. Despite positive evidence about profitability and improvements in testing procedures, skepticism about technical trading profits...

Grid pricing is one of the beef industry's answers to improving value coordination in fed cattle transactions. This paper constructs individual carcass-level grid and wholesale beef values. These values are used to evaluate the level of value communication that occurs between wholesale and grid...

This analysis examines a simultaneous estimation option-based approach to forecast futures prices in the presence of daily price limit moves. The procedure explicitly allows for changing implied volatilities by estimating the implied futures price and the implied volatility simultaneously. Using...

Basis behavior is generally considered to be the major determinant of hedging success or failure. In the course of our work as contract designers for Chicago Mercantile Exchange Inc., we have come to the conclusion that there are many misconceptions and incorrect statements made about "the...

Traders' perceptions drive their market behavior, and can influence the dynamics of liquidity. This study surveyed 420 traders on their perceptions of the price path during an order imbalance to better understand the dynamics of liquidity. While most liquidity models assume a linear price path,...