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...

Taken together, studies that examine how well commodity futures marketsperform find that risk premiums are common—and so unbiasedness is not—and marketsare not uniformly efficient across commodities or forecast horizons. This large body ofresearch sheds important light on whether and to what...

Hedging effectiveness is the proportion of price risk removed through hedging. Empiricalhedging studies typically estimate a set of risk minimizing hedge ratios, estimate the hedgingeffectiveness statistic, apply the estimated hedge ratios to a second group of data, and examinethe robustness of...

The commodity bull cycle of 2006-2008 and subsequent dramatic price decline have been asource of hardship for traditional commodity market participants such as producers andmerchant/shippers. The usefulness of futures markets has been called into question, especiallygiven that some market...

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...

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)...

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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...

The IFAMR (ISSN #: 1559-2448) is published quarterly. http://www.ifama.org.