Practioners Abstract: Returns to managed futures funds and Commodity Trading Advisors (CTAs) have decreased dramatically during the last several years. Since these funds overwhelmingly use technical analysis, this research examines futures prices to determine if there is evidence of a structural...

As opposed to a normal market, an inverted market has a negative price of storage or spread. Market inversions in nearby spreads rarely occur during early months of the crop year since stocks are usually abundant after harvest. However, market inversions frequently occur when the spreads are...

One maxim that has been circulating among farmers is that most farmers sell in the lower third of the market. This maxim is soundly rejected using data from Oklahoma elevators. In fact, roughly half of producers sell in the upper third of the market. Thus, there does not seem to be a great need...

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...

There is no shortage of studies regarding price forecasting and marketing strategies of producers. However, the majority of these studies take a normative approach, focusing on deriving an optimal strategy for producers to follow based on information received from producer surveys. Due to such...

Little research has been conducted on evaluating out-of-sample forecasts of limited dependent variables. This study describes the large and small sample properties of two forecast evaluation techniques for limited dependent variables: receiver-operator curves and out-of-sample-log-likelihood...

Years of research have been dedicated to determining the best time for producers to sell their commodities. Researchers have developed basis models, market efficiency tests, hedging/risk models, price forecasting models, and many other models in an attempt to help producers. There is a vast...

Behavioral finance is a relatively new field of inquiry that may help better understand farmer marketing. The theory argues that people tend to make certain psychological biases that cause them to not be fully rational in an economic sense. For example, people tend to be about twice as upset...

Both market advisors and researchers have often suggested rollover hedging as a way of increasing producer returns. This study tests whether rollover hedging can increase expected returns for producers. For rollover hedging to increase expected returns, futures prices must follow a...

Commingling cattle in the feedlot increases the odds of cattle getting sick. However, backgrounded cattle are less susceptible to diseases which allow the generalizing statements like "backgrounding is just like single source". Using data from over 15,000 cattle fed in 12 Iowa feedlots, we show...