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| Registros recuperados: 121 | |
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| Good, Darrel L.; Martines-Filho, Joao Gomes; Irwin, Scott H.. |
| The purpose of this research report is to evaluate the pricing performance of market advisory services for the 1995-2000 corn and soybean crops. Certain explicit assumptions are made to produce a consistent and comparable set of results across the different advisory programs. These assumptions are intended to accurately depict "real-world" marketing conditions. Several key assumptions are: i) with a few exceptions, the marketing window for a crop year runs from September before harvest through August after harvest, ii) cash prices and yields refer to a central Illinois farm, iii) storage is assumed to occur at on-farm or commercial sites, and iv) marketing loan recommendations made by advisory programs are followed wherever feasible. Based on these... |
| Tipo: Working or Discussion Paper |
Palavras-chave: Marketing. |
| Ano: 2002 |
URL: http://purl.umn.edu/14784 |
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| Irwin, Scott H.; Martines-Filho, Joao Gomes; Good, Darrel L.. |
| The purpose of this paper is to evaluate the performance of market advisory services for the 1995-2000 corn and soybean crops. A new database from the Agricultural Market Advisory Services (AgMAS) Project is used in the evaluation. This database should not be subject to survivorship and hindsight biases. Overall, the results provide limited evidence that advisory programs as a group outperform market benchmarks, particularly after considering risk. In contrast, some evidence exists that advisory programs as a group outperform the farmer benchmark, even after taking risk into account. There is little evidence that advisory programs with superior performance can be usefully selected based on past performance. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Crop Production/Industries. |
| Ano: 2003 |
URL: http://purl.umn.edu/22256 |
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| Tannura, Michael A.; Irwin, Scott H.; Good, Darrel L.. |
| The purpose of this study was to investigate the relationship between weather, technology, and corn and soybean yields in the U.S. Corn Belt. Corn and soybean yields, monthly temperature, and monthly precipitation observations were collected over 1960 through 2006 for Illinois, Indiana, and Iowa. Multiple regression models were developed based on specifications found in studies by Thompson (1962 1963 1969 1970 1985 1986 1988). Estimated models explained at least 94% and 89% of the variation in corn and soybean yields for each state, respectively. Analysis of the regression results showed that corn yields were particularly affected by technology, the magnitude of precipitation during June and July, and the magnitude of temperatures during July and August.... |
| Tipo: Report |
Palavras-chave: Agricultural Finance; Financial Economics; Research Methods/ Statistical Methods. |
| Ano: 2008 |
URL: http://purl.umn.edu/37501 |
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| Cabrini, Silvina M.; Good, Darrel L.; Irwin, Scott H.. |
| This paper employs a Bayesian hierarchical approach to estimate individual expected performance of market advisory programs in corn and soybeans. This estimation procedure is a conservative approach compared to traditional estimation, since it reduces estimation error in the expected gains from following top-performing advisory programs. Three versions of the model are estimated. The first combines information across the entire sample, while the second includes skeptical beliefs based on the efficient market hypothesis. The third divides programs into two groups based on the degree of activeness in marketing recommendations. Results indicate that even when skeptical beliefs are incorporated into the model a few programs in corn and several programs in... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Marketing. |
| Ano: 2006 |
URL: http://purl.umn.edu/19002 |
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| Irwin, Scott H.; Good, Darrel L.; Jackson, Thomas E.. |
| The purpose of this paper is to investigate the pricing performance and behavior of market advisory services in corn and soybeans. Data on corn and soybean net price received for advisory services, as reported by the AgMAS Project, are available for the 1995, 1996 and 1997 marketing years. Performance test results suggest that, on average, market advisory services exhibit a small ability to "beat the market". This conclusion is somewhat sensitive to the type of performance test and market benchmark considered. The predictability results provide little evidence that future advisory service pricing performance can be predicted from past performance. Marketing profiles identify three marketing "styles": i) "scale-up" sales, ii) selective hedging and... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Agribusiness. |
| Ano: 2000 |
URL: http://purl.umn.edu/19579 |
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| Dietz, Sarah N.; Aulerich, Nicole M.; Irwin, Scott H.; Good, Darrel L.. |
| The purpose of this paper is to investigate the marketing performance of wheat farmers in Illinois and Kansas over 1982-2004. The results show that farmer benchmark prices for wheat in Illinois and Kansas fall in the middle-third of the price range about half to three-quarters of the time. Consistent with previous studies, this refutes the contention that Illinois and Kansas wheat farmers routinely market the bulk of their wheat crop in the bottom portion of the price range. Tests of the average difference between farmer and market benchmark prices are sensitive to the market benchmark considered. Marketing performance of wheat farmers in Illinois and Kansas is about equal to the market if 24- or 20-month market benchmarks are used, is slightly above the... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Benchmarks; Illinois; Kansas; Marketing; Performance; Price; Wheat; Agricultural Finance. |
| Ano: 2008 |
URL: http://purl.umn.edu/37622 |
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| Sanders, Dwight R.; Irwin, Scott H.; Merrin, Robert P.. |
| The objective of this report is to re-visit the “adequacy of speculation” debate in agricultural futures markets. The Commodity Futures Trading Commission makes available the positions held by index funds and other large traders in their Commitment of Traders reports. The results suggest that after an initial surge from early 2004 through mid-2005, index fund positions have stabilized as a percent of total open interest. Traditional speculative measures do not show any material changes or shifts over the sample period. In most markets, the increase in long speculative positions was equaled or surpassed by an increase in short hedging. So, even after adjusting speculative indices for index fund positions, values are within the historical ranges reported in... |
| Tipo: Report |
Palavras-chave: Commitment’s of Traders; Index funds; Commodity futures markets; Agricultural Finance; Financial Economics. |
| Ano: 2008 |
URL: http://purl.umn.edu/37512 |
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| Urcola, Hernan A.; Irwin, Scott H.. |
| The hog option contract has served as a risk management tool for the pork industry for more than 20 years. However, very limited information exists about how this market behaves and how it was affected by the contract redesign of 1996. This paper evaluates the efficiency of hog options markets comparing its pricing function during the live hog contract period to the lean hog contract period. Trading returns are computed and adjusted for risk using the Sharpe ratio and the Capital Asset Pricing Model. When the whole sample period is analyzed, results indicate that no profits can be made by taking either side of the hog options markets. However, analyzing the live and the lean hog contracts separately, some evidence suggest that opportunities for... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Marketing. |
| Ano: 2006 |
URL: http://purl.umn.edu/21479 |
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| Urcola, Hernan A.; Irwin, Scott H.. |
| A growing body of recent evidence suggests that premiums for financial options might be too high. For agricultural options, market participants often make similar claims, however there is very limited scientific literature to prove or disprove such claims. This research investigates the efficiency of corn and soybean options markets by directly computing trading returns. Time effects on market efficiency are also investigated. When the sample period is considered as a whole, risk adjusted returns indicate that no profits can be made by taking either side of the corn or soybean options markets. However, when time effects are analyzed, corn calls appear to have provided excess returns during the 1998--2005 period. This result do not appear to be driven by... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Corn; Soybeans; Options markets; Mispricing; Trading returns; Market efficiency; Crop Production/Industries; Marketing. |
| Ano: 2006 |
URL: http://purl.umn.edu/19006 |
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| Good, Darrel L.; Irwin, Scott H.; Jackson, Thomas E.; Jirik, Mark A.; Martines-Filho, Joao Gomes. |
| The purpose of this research report is to present an evaluation of advisory service pricing performance in 1998 for corn and soybeans. Specifically, the average price received by a subscriber to an advisory service is calculated for corn and soybean crops harvested in 1998. The average net advisory price across all 23 corn programs is $2.17 per bushel - seven cents below the market benchmark price. The net advisory prices for corn range from a minimum of $1.93 per bushel to a maximum of $2.51 per bushel. The average net advisory price across all 22 soybean programs is $5.82 per bushel - four cents less than the market benchmark. The net advisory prices for soybeans range from a minimum of $5.11 per bushel to a maximum of $6.58 per bushel. |
| Tipo: Working or Discussion Paper |
Palavras-chave: Marketing. |
| Ano: 2000 |
URL: http://purl.umn.edu/14793 |
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| Isengildina, Olga; Pennings, Joost M.E.; Irwin, Scott H.; Good, Darrel L.. |
| This study sought to examine the nature of farmers’ use of market advisory services based on the results of a survey of US crop producers. The survey revealed that market advisory service users tend to be significantly more risk seeking than non-users. Survey results indicated a large range in patterns of use of advisory services. Most farmers use advisory services to the greatest extent for marketing information, market analysis, and to keep up with markets. General guidelines (market strategies and price information) are utilized more than specific advice (e.g., specific pricing decisions, price forecasts). Only 11% of farmers reported that they closely follow the marketing recommendations provided by advisory services. Nonetheless, farmers report that... |
| Tipo: Report |
Palavras-chave: Agricultural Finance. |
| Ano: 2004 |
URL: http://purl.umn.edu/37489 |
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| Irwin, Scott H.; Sanders, Dwight R.; Merrin, Robert P.. |
| It is commonly asserted that speculative buying by index funds in commodity futures and over–the–counter derivatives markets created a ‘‘bubble’’ in commodity prices, with the result that prices, and crude oil prices, in particular, far exceeded fundamental values at the peak. The purpose of this paper is to show that the bubble argument simply does not withstand close scrutiny. Four main points are explored. First, the arguments of bubble proponents are conceptually flawed and reflect fundamental and basic misunderstandings of how commodity futures markets actually work. Second, a number of facts about the situation in commodity markets are inconsistent with the existence of a substantial bubble in commodity prices. Third, available statistical evidence... |
| Tipo: Journal Article |
Palavras-chave: Commodity; Futures; Index fund; Market; Speculation; Agribusiness; Demand and Price Analysis; Financial Economics; Marketing; Q11; Q13. |
| Ano: 2009 |
URL: http://purl.umn.edu/53083 |
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| Isengildina, Olga; Irwin, Scott H.; Good, Darrel L.. |
| This study suggests that confidence intervals for WASDE forecasts of corn, soybean, and wheat prices may be improved if they are estimated using an empirical approach. Empirical confidence intervals are calculated following Williams and Goodman's (1971) method and use historical forecast errors to estimate forecast error distributions which is then used to predict confidence limits for future forecast errors. Three procedures for empirical distribution estimation are compared: 1) histogram, 2) changing distribution, 3) fixed distribution. The results suggest that the fixed distribution approach using logistic distribution provided accurate confidence intervals for WASDE corn, soybean, and wheat price forecasts. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Crop Production/Industries; Demand and Price Analysis. |
| Ano: 2006 |
URL: http://purl.umn.edu/18995 |
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| Good, Darrel L.; Irwin, Scott H.. |
| The purpose of this report is to improve understanding of USDA crop forecasting methods, performance and market impact. A review of USDA's forecasting procedures and methodology confirmed the objectivity and consistency of the forecasting process over time. No changes in methodology occurred in 2004. Month-to-month changes in corn and soybean production forecasts from 1970 through 2004 indicated little difference in magnitude and direction of monthly changes over time. USDA production forecast errors were largest in August and smaller in subsequent forecasts. There appeared to be no trend in the size or direction of forecast errors over time. On average, USDA corn production forecasts were more accurate than private market forecasts over 1970-2004,... |
| Tipo: Working or Discussion Paper |
Palavras-chave: Crop Production/Industries; Marketing. |
| Ano: 2005 |
URL: http://purl.umn.edu/14785 |
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| Registros recuperados: 121 | |
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