Registro completo |
Provedor de dados: |
AgEcon
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País: |
United States
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Título: |
Live and Feeder Cattle Options Markets: Returns, Risk, and Volatility Forecasting
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Autores: |
Brittain, Lee
Garcia, Philip
Irwin, Scott H.
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Data: |
2009-08-25
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Ano: |
2009
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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
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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.
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Tipo: |
Conference Paper or Presentation
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Idioma: |
Inglês
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Identificador: |
http://purl.umn.edu/53038
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Relação: |
NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management>2009 Conference, April 20-21, 2009, St. Louis, Missouri
NCCC- 134
04
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Formato: |
26
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