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	Provedor de dados AgEcon (2) Autor Hennessy, David A. (2) Du, Xiaodong (1) Zhao, Huan (1) Palavra-chave Farm Management (2) Ricardian rent (2) Agribusiness (1) Agricultural Finance (1) Cash rent (1) Cow-calf return (1) Delta hedging (1) Industrial Organization (1) Livestock Production/Industries (1) Monte Carlo simulation (1) Multivariate GARCH (1) Real option (1) Research Methods/ Statistical Methods (1) Supply chain (1) Mais... Tipo do documento Conference Paper or Presentation (1) Working or Discussion Paper (1) Ano 2009 (1) 2008 (1) País United States (2) Idioma Inglês (2)		Ordenar por:  Relevância Autor Título Ano Registros recuperados: 2 Primeira ... 1 ... Última RATIONALIZING TIME SERIES DIFFERENCES BETWEEN COW-CALF AND FEEDER RETURNS AgEcon Zhao, Huan; Hennessy, David A.. This paper tries to justify the observation of different return patterns in the upstream and downstream sectors of US beef production. It builds a dynamic rational expectation model separating the cow-calf and feeding sector with the former sector being the residual claimer. The model shows that the cow-calf operation has positively autocorrelated return pattern while the feeding operation return only reflects random shock. Empirical study shows that 85.4% of the Ricardian rent is passed through to the upstream sector, and the downstream sector can only claim the unexpected return resulting from random shocks. Tipo: Conference Paper or Presentation Palavras-chave: Ricardian rent; Cow-calf return; Supply chain; Agribusiness; Agricultural Finance; Farm Management; Industrial Organization; Livestock Production/Industries. Ano: 2009 URL: http://purl.umn.edu/49486 The Planting Real Option in Cash Rent Valuation AgEcon Du, Xiaodong; Hennessy, David A.. After entering into farmland rental contracts in the fall, a tenant farmer has the planting flexibility to choose between corn and soybeans. Failure to account for this switching option will bias estimates of what farmers should pay to rent land. Applying contingent claims analysis methods, this study explicitly derives the real option value function. Comparative statics with respect to the volatilities of underlying state variables and their correlations are derived and discussed. Dynamic hedging deltas in this real option context are also developed. Monte Carlo simulation results show that the average cash rent valuation for the real option approach is 11% higher than that for the conventional net present value (NPV) method. The simulated dynamic hedging... Tipo: Working or Discussion Paper Palavras-chave: Cash rent; Delta hedging; Monte Carlo simulation; Multivariate GARCH; Real option; Ricardian rent; Farm Management; Research Methods/ Statistical Methods. Ano: 2008 URL: http://purl.umn.edu/6307 Registros recuperados: 2 Primeira ... 1 ... Última

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