B1_3

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...

Regarding the nature of yield data, there are two basic characteristics that needs to be accommodated while we are about to model a yield distribution. The first one is the nonstationary nature of the yield distribution, which causes the heteroscedasticity related problems. The second one is the...

Options on agricultural futures are popular financial instruments used for agricultural price risk management and to speculate on future price movements. Poor performance of Black’s classical option pricing model has stimulated many researchers to introduce pricing models that are more...

We theoretically examine a farmer’s coverage demand with area and individual insurance plans as either separate or integrated options. The individual and area losses are assumed to be imperfectly and positively correlated. With actuarially fair rates, the farmer will fully insure with the...

We theoretically examine a farmer’s coverage demand with area and individual insurance plans as either separate or integrated options. The individual and area losses are assumed to be imperfectly and positively correlated. With actuarially fair rates, the farmer will fully insure with the...

Commodity and energy prices have exhibited an unprecedented increase between October 2006 and July 2008, only to fall sharply during the last months of 2008. Many explanations have been offered to this phenomenon, including steadily increasing demand from China and India, large mandated...

While economies of scope of lending and mobilizing deposits in banking are justifiedtheoretically (Diamond, 1984) and found empirically (see Saunders, 1999), in microfinance, theexistence and the magnitudes of scope economies has not been investigated. We use a semiparametric smooth coefficient...

This paper assessed the effects of transactions costs—relative to price and non-price factors—on smallholder marketed surplus and input use in Kenya. A selectivity model was used that accounts not only for the effects of fixed and variable transactions costs but also for the role of assets,...

This paper investigates the dynamics of sequential decision-making in agricultural futures andoptions markets using a quantile regression framework. Analysis of trading records of 12 traderssuggests that there is great heterogeneity in individual trading behavior. Traders responddifferently to...