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	Provedor de dados AgEcon (2) Autor Schaefer, Matthew P. (2) Myers, Robert J. (1) Palavra-chave Cattle On-Feed Report (1) Financial Economics (1) Livestock Production/Industries (1) Market efficiency (1) Marketing (1) Production Economics (1) Rational expectations (1) Survey forecasts (1) Mais... Tipo do documento Conference Paper or Presentation (2) Ano 2002 (1) 1999 (1) País United States (2) Idioma Inglês (2)		Ordenar por:  Relevância Autor Título Ano Registros recuperados: 2 Primeira ... 1 ... Última FORECASTING ACCURACY, RATIONAL EXPECTATIONS AND MARKET EFFICIENCY IN THE US BEEF CATTLE INDUSTRY AgEcon Schaefer, Matthew P.; Myers, Robert J.. Recent studies have tested whether futures prices respond to U.S. Department of Agriculture inventory reports in accordance with the efficient markets hypothesis. These studies use survey forecasts to identify the anticipated and unanticipated information contained in a report. However, this approach implicitly assumes that survey forecasts be an unbiased and efficient predictor of the data in the USDA report. Furthermore, previous studies have not tested the bias and efficiency properties of USDA preliminary estimates as predictors of final revised USDA figures. This study introduces a framework for conducting tests of the efficient markets hypothesis in the presence of biased and inefficient survey forecasts, and preliminary USDA estimates that are... Tipo: Conference Paper or Presentation Palavras-chave: Market efficiency; Rational expectations; Survey forecasts; Cattle On-Feed Report; Financial Economics; Livestock Production/Industries; Production Economics. Ano: 1999 URL: http://purl.umn.edu/21487 PRICING AND HEDGING EUROPEAN OPTIONS ON FUTURES SPREADS USING THE BACHELIER SPREAD OPTION MODEL AgEcon Schaefer, Matthew P.. The Bachelier model for pricing options on futures spreads (OFS) assumes changes in the underlying .futures prices and spread follow unrestricted arithmetic Brownian motion (UABM). The assumption of UABM allows for a convenient analytic solution for the price of an OFS. The same is not possible under the more traditional assumption of geometric Brownian motion (GBM). Given the additional complexity of methods for pricing and hedging OFS using GBM such as Monte Carlo simulation and binomial trees, it is worth investigating how results from the Bachelier model compare to these other methods. The Bachelier model is presented and then extended to price an OFS with three underlying commodities. Hedge parameters for both models are provided. Results indicate... Tipo: Conference Paper or Presentation Palavras-chave: Marketing. Ano: 2002 URL: http://purl.umn.edu/19055 Registros recuperados: 2 Primeira ... 1 ... Última

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