| Registro completo |
| Provedor de dados: |
AgEcon
|
| País: |
United States
|
| Título: |
Live and Feeder Cattle Options Markets: Returns, Risk, and Volatility Forecasting
|
| Autores: |
Brittain, Lee
Garcia, Philip
Irwin, Scott H.
|
| Data: |
2011-06-01
|
| Ano: |
2011
|
| Palavras-chave: |
Feeder cattle
Live cattle
Options
Returns
Risk
Volatility forecasting
Livestock Production/Industries
Risk and Uncertainty
|
| Resumo: |
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 pronounced in live cattle. While significant returns exist from several positions, strategies are strongly affected by drifts in futures prices. However, returns from live cattle puts are persistent, and evidence from 30-day straddle returns indicates the live cattle market overprices volatility. Overpricing is consistent with volatility risk, the effect of which is magnified by extreme market conditions.
|
| Tipo: |
Journal Article
|
| Idioma: |
Inglês
|
| Identificador: |
http://purl.umn.edu/105515
|
| Relação: |
Journal of Agricultural and Resource Economics>Volume 36, Number 1, April 2011
|
| Formato: |
20
|
|
