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	Provedor de dados AgEcon (2) Autor Brittain, Lee (2) Garcia, Philip (2) Irwin, Scott H. (2) Palavra-chave Feeder cattle (2) Live cattle (2) Livestock Production/Industries (2) Options (2) Returns (2) Risk (2) Volatility forecasting (2) Agribusiness (1) Agricultural Finance (1) Agricultural and Food Policy (1) Community/Rural/Urban Development (1) Farm Management (1) Financial Economics (1) Marketing (1) Research Methods/ Statistical Methods (1) Risk and Uncertainty (1) Mais... Tipo do documento Conference Paper or Presentation (1) Journal Article (1) Ano 2011 (1) 2009 (1) País United States (2) Idioma Inglês (2)		Ordenar por:  Relevância Autor Título Ano Registros recuperados: 2 Primeira ... 1 ... Última Live and Feeder Cattle Options Markets: Returns, Risk, and Volatility Forecasting AgEcon Brittain, Lee; Garcia, Philip; Irwin, Scott H.. 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 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. Ano: 2009 URL: http://purl.umn.edu/53038 Live and Feeder Cattle Options Markets: Returns, Risk, and Volatility Forecasting AgEcon Brittain, Lee; Garcia, Philip; Irwin, Scott H.. 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 Palavras-chave: Feeder cattle; Live cattle; Options; Returns; Risk; Volatility forecasting; Livestock Production/Industries; Risk and Uncertainty. Ano: 2011 URL: http://purl.umn.edu/105515 Registros recuperados: 2 Primeira ... 1 ... Última

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