The strategic choices of Small and Medium Enterprises in the agribusiness sector are fraught with large cost and revenue uncertainties. The transition to a new production system implies that SMEs must re-allocate resources and develop new strategies to achieve market goals. We highlight the...

The validity of the utility concept, particularly in an expected utility framework, has been questioned because of its inability to predict revealed behavior. In this paper we focus on the global shape of the utility function instead of the local shape of the utility function. We examine the...

Price volatility in the corn market has changed considerably globalization and stronger linkages to the energy complex. Using data from January 1989 through December 2009, we estimate and forecast the volatility in the corn market using futures daily prices. Estimates in a Fractional Integrated...

Understanding the determinants of liquidity costs in agricultural futures markets ishampered by a need to use proxies for the bid-ask spread which are often biased, and by a failure to account for a jointly determined micro-market structure. We estimate liquidity costs and its determinants for...

Three attributes of futures contract behavior important for market performance—liquidity, volatility, and convergence—are investigated before and after the 2005 increase in speculative position limits for corn, soybean, and wheat contracts at the Chicago Board of Trade. The analysis of...

Basis risk has been cited as a primary concern for implementing weather hedges. This studyinvestigates several dimensions of weather basis risk for the U.S. corn market at variouslevels of aggregation. The results suggest that while the degree of geographic basis risk maybe significant in some...

Heterogeneity, i.e., the notion that individuals respond differently to economic stimuli, can have profound consequences for the interpretation of behavior and the formulation of agricultural policy. This paper compares and evaluates three grouping techniques that can be used to account for...

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...

The paper examines empirical returns from holding thirty- and ninety-day call and put positions,and the forecasting performance of implied volatility in the live and feeder cattle optionsmarkets. In both markets, implied volatility is an upwardly biased and inefficient predictor ofrealized...

This paper investigates whether the accuracy of outlook hog price forecasts can be improvedusing composite forecasts in an out-of-sample context. Price forecasts from four wellrecognizedoutlook programs are combined with futures-based forecasts, ARIMA, andunrestricted Vector Autoregressive (VAR)...