Data/hora: 04/06/2024 07:03:27

Provedor de dados: 	31	
País: 	United States	
Título: 	Live and Feeder Cattle Options Markets: Returns, Risk, and Volatility Forecasting	
Autores: 	Brittain,   Lee; Garcia,   Philip; Irwin,   Scott H.	
Data: 	2009-08-25	
Ano: 	2009	
Palavras-chave: 	Live cattle; Feeder cattle; Options; Returns; Risk; Volatility forecasting; Agribusiness; Agricultural and Food Policy; Agricultural Finance; Community/Rural/Urban Development; Farm Management; Financial Economics; Livestock Production/Industries; Marketing; Research Methods/ Statistical Methods.	
Resumo: 	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 options markets. In both markets, implied volatility is an upwardly biased and inefficient predictor of realized volatility, with bias most prominent in live cattle. While significant returns exist holding several market positions, most strategies are strongly affected by a drift in futures market prices. However, the returns from selling live cattle puts are persistent, and evidence from straddle returns identifies that the market overprices volatility. This overpricing is consistent with a short-term risk premium whose effect is magnified by extreme changes in market conditions.	
Tipo: 	Conference Paper or Presentation	
Idioma: 	Inglês	
Identificador: 	http://purl.umn.edu/53038	
Relação: 	NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management&gt;2009 Conference, April 20-21, 2009, St. Louis, Missouri

NCCC- 134

04	
Formato: 	26