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| Urcola, Hernan A.; Irwin, Scott H.. |
| As agricultural options markets grow, perceptions of overpricing persist among market participants. This study tests the efficiency of corn, soybean, and wheat options by computing trading returns. Several call and put option strategies yield significant profits, but returns are influenced by movements in the futures price, and straddle trading does not lead to significant returns. The combined analysis of put, call, and straddle returns indicates that significant returns can be attributed to drifts in the underlying futures, and that the corn, soybean, and wheat options markets are efficient. |
| Tipo: Journal Article |
Palavras-chave: Agricultural options; Mispricing perceptions; Trading returns; Risk and Uncertainty. |
| Ano: 2011 |
URL: http://purl.umn.edu/105525 |
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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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