In this article we use the theories of market efficiency and supply of storage to develop a conceptual link between the corn and ethanol markets and explore statistical evidence for the link. We propose that a long-run no-profit condition is established in distant futures markets for ethanol,...

In this article we use the theories of market efficiency and supply of storage to develop a conceptual link between the corn and ethanol markets and explore statistical evidence for the link. We propose that a long-run no-profit condition is established in distant futures markets for ethanol,...

We investigate storage in the presence of backwardation and the existence of the Working curve for CBOT corn, soybeans, and wheat markets and the KCBOT wheat market using recent data, 1990-2010. Incorporating Telser’s concept of the cost of carry, we employ two measures of the spread—the...

This paper examines returns from holding 30- and 90-day call and put positions, and the forecasting performance of implied volatility in the live and feeder cattle options markets. Implied volatility is an upwardly biased and inefficient predictor of realized volatility, with bias most...

As agricultural options markets grow, perceptions of overpricing persist among market participants. This study tests the efficiency of corn, soybean, and wheat options by computing trading returns. Several call and put option strategies yield significant profits, but returns are influenced by...

This study uses quantile regressions to estimate historical forecast error distributions for WASDE forecasts of corn, soybean, and wheat prices, and then compute confidence limits for the forecasts based on the empirical distributions. Quantile regressions with fit errors expressed as a function...

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...

O objetivo deste artigo foi identificar sinais de excesso de confiança nos preços entre produtores de milho do Sul e do Centro-Oeste do Brasil. Entre outubro e novembro de 2008, 90 produtores foram selecionados para responderem questões relacionadas a seus conhecimentos do mercado futuro e a...