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	Provedor de dados AgEcon (5) Autor Brorsen, B. Wade (1) Franken, Jason R.V. (1) Garcia, Philip (1) Hranaiova, Jana (1) Irwin, Scott H. (1) Power, Gabriel J. (1) Roberts, Matthew C. (1) Robinson, John R.C. (1) Tomek, William G. (1) Yoon, Byung-Sam (1) Zhou, Haijiang (1) Zulauf, Carl R. (1) Mais... Palavra-chave Convenience yield (5) Marketing (4) Agribusiness (2) Demand and Price Analysis (2) Research Methods/ Statistical Methods (2) Aggregation (1) Agricultural Finance (1) Basis (1) Corn (1) Cost of carry (1) Cotton (1) Crop Production/Industries (1) Farm Management (1) Financial Economics (1) Futures markets (1) G10 (1) Hedging effectiveness (1) Implied volatility (1) Index Traders (1) Intertemporal arbitrage (1) Mais... Tipo do documento Conference Paper or Presentation (3) Journal Article (2) Ano 2009 (2) 2005 (1) 2002 (1) 1999 (1) País United States (5) Idioma Inglês (5)		Ordenar por:  Relevância Autor Título Ano Registros recuperados: 5 Primeira ... 1 ... Última MARKET INVERSION IN COMMODITY FUTURES PRICES AgEcon Yoon, Byung-Sam; Brorsen, B. Wade. In an inverted market, current prices are higher than future prices and thus the price of storage is negative. Market inversions as measured with futures spreads rarely occur during early months of the crop year. However, market inversions frequently occur across crop years and near the end of the crop year. In the last half of the crop year, market inversions clearly reflect a signal to sell stocks. Too few inversions occur early in the crop year to reach a definitive conclusion for that period. Behavioral finance offers possible explanations of why producers would hold stocks in an inverted market. Tipo: Journal Article Palavras-chave: Convenience yield; Cost of carry; Market inversion; Marketing; Q13. Ano: 2002 URL: http://purl.umn.edu/15077 Cotton Futures Dynamics: Structural Change, Index Traders and the Returns to Storage AgEcon Power, Gabriel J.; Robinson, John R.C.. The commodity bull cycle of 2006-2008 and subsequent dramatic price decline have been a source of hardship for traditional commodity market participants such as producers and merchant/shippers. The usefulness of futures markets has been called into question, especially given that some market movements did not appear to be justified by economic fundamentals. An emerging research literature examines the possible influence of futures traders, and particularly the non-traditional Index Traders, on the well-functioning of futures markets and underlying commodity markets. Cotton is a relatively under-studied commodity that is of particular importance for producers in the South and Southwest. To this end, this paper asks the following questions: (1) What role... Tipo: Conference Paper or Presentation Palavras-chave: Cotton; Futures markets; Theory of storage; Convenience yield; Index Traders; Agribusiness; Agricultural Finance; Crop Production/Industries; Demand and Price Analysis; Farm Management; Financial Economics; Marketing; Research Methods/ Statistical Methods; Risk and Uncertainty. Ano: 2009 URL: http://purl.umn.edu/53044 Updating the Estimation of the Supply of Storage Model AgEcon Zulauf, Carl R.; Zhou, Haijiang; Roberts, Matthew C.. An updated supply of storage equation is estimated to reflect recent developments in the theoretical and empirical literature. Among the findings is an inverse relationship between storage cost adjusted price spread and a proxy measure of convenience yield, and a curvilinear relationship between stocks-to-use ratio and implied volatility. Tipo: Conference Paper or Presentation Palavras-chave: Supply of storage; Implied volatility; Convenience yield; Research Methods/ Statistical Methods; Q11; Q14; G10. Ano: 2005 URL: http://purl.umn.edu/19122 Is Storage at a Loss Merely an Illusion of Spatial Aggregation? AgEcon Franken, Jason R.V.; Garcia, Philip; Irwin, Scott H.. The storage-at-a-loss paradox—stocks despite inadequate price growth to cover storage costs—is an unresolved issue of long-standing interest to economists. Alternative explanations include risk premiums for futures market speculators, convenience yields from holding stocks, and mismeasurement/aggregation of data. Statistical analyses of regional and elevator corn and soybean price growth in Illinois suggest limited aggregation effects and reveal a pattern of regional- and elevator-level backwardations in the presence of Illinois corn stocks that is inconsistent with aggregation explanations for storage at a loss. Interviews with elevator managers support the existence of convenience yields. Tipo: Journal Article Palavras-chave: Aggregation; Convenience yield; Corn; Intertemporal arbitrage; Regional and elevator data; Soybeans; Storage at a loss; Agribusiness; Marketing. Ano: 2009 URL: http://purl.umn.edu/90658 THE TIMING OPTION IN FUTURES CONTRACTS AND PRICE BEHAVIOR AT CONTRACT MATURITY AgEcon Hranaiova, Jana; Tomek, William G.. The value of the timing option implicit in CBOT corn futures contract is estimated. Separate estimates are obtained for the option without and with convenience yield. The effect of the option on basis behavior at day one of the maturity month is examined and is found statistically significant. Tipo: Conference Paper or Presentation Palavras-chave: Timing option; Convenience yield; Basis; Hedging effectiveness; Demand and Price Analysis; Marketing. Ano: 1999 URL: http://purl.umn.edu/21677 Registros recuperados: 5 Primeira ... 1 ... Última

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