|
|
|
| Registros recuperados: 10 | |
|
| |
|
|
| Mattos, Fabio; Garcia, Philip; Pennings, Joost M.E.. |
| This paper investigates the dynamics of sequential decision-making in agricultural futures and options markets. Analysis of trading records of 12 traders identified considerable heterogeneity in individual dynamic trading behavior. Using risk measures derived from the deltas and vegas of trader’s portfolios, we find nearly half the traders behavior is consistent with a house-money effect and the other half with loss aversion. These findings correspond closely to expected behavior inferred from elicited utility and probability weighting functions. The results call into question more aggregate findings that discount probability weighting to develop risk measures which support the notion of more uniform, less heterogeneous, behavior. Understanding behavior in... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Loss aversion; House-money effect; Futures; Options; Agricultural Finance. |
| Ano: 2008 |
URL: http://purl.umn.edu/37605 |
| |
|
| |
|
| |
|
|
| Mattos, Fabio; Garcia, Philip; Leuthold, Raymond M.; Hahn, Tony. |
| The purpose of this paper is to investigate the feasibility of a new futures contract for hedging wholesale transactions in the beef industry based on the USDA boxed beef cutout index (BBCO). The results suggest the live cattle futures contract is not an adequate tool to manage the price risk of wholesale meat transactions in the beef industry. However, a futures contract based on the BBCO index might provide considerably more opportunities for the hedging of wholesale meat cut prices. A pattern of improved hedging effectiveness at more distant horizons also appears to emerge for the individual cuts of meat using the conditional hedge procedures. These results may be of particular interest to members of the meat industry with longer planning horizons,... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Hedge ratio; Hedging effectiveness; Boxed-beef cutout; Wholesale beef prices; Marketing. |
| Ano: 2003 |
URL: http://purl.umn.edu/18986 |
| |
|
|
| Mattos, Fabio; Garcia, Philip. |
| This study investigates the relationship between cash and futures prices in the Brazilian agricultural market, focusing on the effects of trading activity on the price discovery mechanism of futures markets. The results are mixed, but several points begin to emerge. In general, higher trading activity is linked to the presence of long-run equilibrium relationships between cash and futures prices. In these cases, futures prices appear to play a more dominant role in the pricing process. In more lightly traded markets, neither long-run relationships nor short-run leads and lags can be found. Where short-run interactions exist, they are simultaneous in nature but weak. Overall, our findings suggest that the level of market activity necessary to develop... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Marketing. |
| Ano: 2004 |
URL: http://purl.umn.edu/19019 |
| |
|
| |
|
|
| Mattos, Fabio; Garcia, Philip; Pennings, Joost M.E.. |
| The objective of this study is to investigate how professional traders in futures and options markets behave under risk and uncertainty. Our preliminary findings suggest that most traders exhibit concave utility functions for gains and convex utility functions for losses, while their weighting functions are inverse s-shaped. However, differences in magnitude of the risk aversion parameters and the degree of probability weighting can lead to distinct behavior even if the shapes of utility and weighting functions are the same. Further, the typical pattern of prospect theory is more prevalent under risk but not as much under uncertainty. More combinations of shapes for utility and weighting functions are found under uncertainty, suggesting that different... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Trader behavior; Risk aversion; Probability weighting. |
| Ano: 2007 |
URL: http://purl.umn.edu/37569 |
| |
|
|
| Mattos, Fabio; Garcia, Philip; Nelson, Carl H.. |
| The purpose of this study is to analyze how the introduction of a downside risk measure and less restrictive assumptions can change the optimal hedge ratio in the standard hedging problem. Based on a dataset of futures and cash prices for soybeans in the U.S., the empirical findings indicate that optimal hedge ratios change dramatically when a one-sided risk measure is adopted and standard assumptions are relaxed. Further, the results suggest that in a downside risk framework with realistic hedging assumptions there is little or no incentive for farmers to hedge. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Marketing. |
| Ano: 2005 |
URL: http://purl.umn.edu/19040 |
| |
|
|
| Mattos, Fabio; Garcia, Philip; Pennings, Joost M.E.. |
| We analyze how the introduction of probability distortion and loss aversion in the standard hedging problem changes the optimal hedge ratio. Based on simulated cash and futures prices for soybeans, our results indicate that the optimal hedge changes considerably when probability distortion is considered. However, the impact of loss aversion on hedging decisions appears to be small, and it diminishes as loss aversion increases. Our findings suggest that probability distortion is a major driving force in hedging decisions, while loss aversion plays just a marginal role. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Marketing. |
| Ano: 2006 |
URL: http://purl.umn.edu/18992 |
| |
| Registros recuperados: 10 | |
|
|
|
