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Relationships among Prices across Alternative Marketing Arrangements for Fed Cattle and Hogs

Lee, Yoonsuk; Ward, Clement E.; Brorsen, B. Wade - Southern Agricultural Economics Association - SAEA - 2010

Reduced reliance on cash market prices for fed cattle and hogs raise questions about the role of cash prices in price discovery. We use seven years of weekly data from mandatory price reports to determine whether or not cash market prices are cointegrated with other procurement prices and then...

Persistent link: https://www.econbiz.de/10008922567

CASH MARKETING STYLES AND PERFORMANCE PERSISTENCE OF WHEAT PRODUCERS

Cunningham, Lewis T.; Brorsen, B. Wade; Anderson, Kim B. - 2004

paper first measures the extent to which producers display an active or mechanical marketing style using individual farmer … sales. Next, tests of performance persistence are conducted to determine if there is any advantage to an active marketing … style. The results show that southern Oklahoma wheat producers tend to have a mechanical marketing style, while at other …

Persistent link: https://www.econbiz.de/10009442970

INCREASING THE ACCURACY OF OPTION PRICING BY USING IMPLIED PARAMETERS RELATED TO HIGHER MOMENTS

Ji, Dasheng; Brorsen, B. Wade - 2000

The inaccuracy of the Black-Scholes formula arises from two aspects: the formula is for European options while most real option contracts are American; the formula is based on the assumption that underlying asset prices follow a lognormal distribution while in the real world asset prices cannot...

Persistent link: https://www.econbiz.de/10009443000

Optimal Length of Moving Average to Forecast Futures Basis

Hatchett, Robert B.; Brorsen, B. Wade; Anderson, Kim B. - 2009

Futures prices when combined with a basis forecast provide a reliable way to forecast cashprices. The most popular method of forecasting basis is historical moving averages. Given therecent failure of longer moving averages proposed by previous studies, this research reassessespast...

Persistent link: https://www.econbiz.de/10009446394

Transition to electronic trading of Kansas City Board of Trade wheat futures

Shah, Samarth; Brorsen, B. Wade - 2010

This study compares liquidity costs and other characteristics of electronic and open outcry hard red winter wheat futures contracts traded on the Kansas City Board of Trade. Liquidity costs are considerably lower in the electronic market than in the open outcry market. A new approach is used to...

Persistent link: https://www.econbiz.de/10009446522