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| Registros recuperados: 16 | |
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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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| Yoon, Byung-Sam; Brorsen, B. Wade. |
| Both market advisors and researchers have often suggested multiyear rollover hedging as a way to increase producer returns. This study determines whether rollover hedging can increase expected returns for producers. For rollover hedging to increase expected returns, futures prices must follow a mean-reverting process. To test for the existence of mean reversion in agricultural commodity prices, this study uses a longer set of price data and a wider range of test procedures than past research. With the use of both the return predictability test from long-horizon regression and the variance ratio test, we find that mean reversion does not exist in futures prices for corn, wheat, soybean, soybean oil, and soybean meal. The findings are consistent with... |
| Tipo: Journal Article |
Palavras-chave: Market efficiency; Mean reversion; Random walk; Rollover hedging; Agricultural Finance; Risk and Uncertainty; Q13; G13. |
| Ano: 2005 |
URL: http://purl.umn.edu/43713 |
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| King, John L.. |
| Consolidation in the agricultural biotechnology industry can both enhance and dampen market competition. This report examines the causes and consequences of industry consolidation and its effect on market efficiency. In some cases, concentration realizes economies of scale, which can improve market efficiency by driving down production costs. The protection of intellectual property rights is integral to the agricultural biotechnology marketplace, stimulating research and development, investment, and the development of substitute markets. However, excessively broad intellectual property rights can hinder the market for innovation. Recent data on mergers, acquisitions, and strategic collaborations in the agricultural biotechnology industry, as well as the... |
| Tipo: Report |
Palavras-chave: Industry concentration; Consolidation; Biotechnology; Market efficiency; Market power; Intellectual property rights; Agricultural input industries; Mergers; Acquisitions; Agribusiness; Industrial Organization. |
| Ano: 2001 |
URL: http://purl.umn.edu/33631 |
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| Karali, Berna. |
| The value of USDA reports has long been a question of interest for researchers and practitioners. However, the impact of announcements on comovements across related commodity prices has not been explored beyond financial asset markets. This is important because the structure of the relationship between commodities could change depending on the type of information revealed in the announcement, thus affecting price perceptions, hedging ratios, and portfolio return variance. This study simultaneously measures the impact of selected USDA reports on the conditional variances and covariances of returns on corn, lean hogs, soybeans, soybean meal, and soybean oil futures contracts using a multivariate GARCH model. It is shown that the largest movements in... |
| Tipo: Article |
Palavras-chave: Announcement effects; Futures markets; Market efficiency; Multivariate GARCH; USDA reports; Agricultural Finance; Financial Economics; Political Economy. |
| Ano: 2012 |
URL: http://purl.umn.edu/122315 |
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| Fabiosa, Jacinto F.. |
| Studies on the General Agreement on Tariffs and Trade (GATT) are abundant in the literature. But most researchers have examined GATT's impact on economic activities with scant or no attention given to its impact on institutions such as market integration and efficiency. To the latter issues, this paper is addressed. Even prior to the signing of the final act, questions were raised on possible maneuvers that might frustrate its intent, that of ushering in an era of true liberalization in agricultural trade. This study finds consistent evidence that GATT reforms promoted market integration and improved market efficiency. Decomposition of price variability into its various sources shows that the transmission of shocks becomes more widespread across markets... |
| Tipo: Working or Discussion Paper |
Palavras-chave: Market integration; Market efficiency; Cointegration; Vector autoregression; GATT; Beef and wheat markets; International Relations/Trade. |
| Ano: 1999 |
URL: http://purl.umn.edu/18508 |
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| Vollrath, Thomas L.. |
| Economic change and market dynamics have fundamentally altered the structure and performance of agricultural markets in the United States, Canada, and Mexico within the last 25 years. Many factors have helped shape the current North American food and fiber system, including technological change, domestic farm policies, international trade agreements, and the economic forces of supply and demand. Ratification of NAFTA, for example, helped integrate the North American market, sparking a surge in trade and investment among the United States, Canada, and Mexico. In recent years, efforts to further integrate the continental market seem to have slowed. Broadening the scope of NAFTA to include institutional reforms that lead to a more unified system of commercial... |
| Tipo: Report |
Palavras-chave: Agriculture; Market integration; Market segmentation; Law of one price; Price transmission; Elasticities; Exchange-rate pass-through; Market efficiency; Bilateral trade intensity; Regional trade agreements; NAFTA; CUSTA; Trade policy; WTO; GATT; Industrial Organization; International Relations/Trade; Marketing. |
| Ano: 2003 |
URL: http://purl.umn.edu/33639 |
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| Quattri, Maria A.. |
| The availability of enabling institutions, information systems and infrastructure is a precondition to enhance agricultural markets’ efficiency, and make market actors less vulnerable to price instability. This paper investigates whether the focus on institutional and technological upgrading is enough to make Ethiopian agricultural markets more efficient. In particular, given that a requirement for exchange efficiency is the lack of unexploited mutually beneficial spatial arbitrage opportunities, we look for evidence of increasing returns to transaction size and returns to scale in transport using detailed trader surveys collected in 2001 and 2007. Whilst transport costs could be reduced by assembling loads and avoiding trans-shipments for the... |
| Tipo: Presentation |
Palavras-chave: Ethiopia; Market efficiency; International Development; Risk and Uncertainty; O13; Q13. |
| Ano: 2012 |
URL: http://purl.umn.edu/122512 |
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| Yoon, Byung-Sam; Brorsen, B. Wade. |
| Both market advisors and researchers have often suggested rollover hedging as a way of increasing producer returns. This study tests whether rollover hedging can increase expected returns for producers. For rollover hedging to increase expected returns, futures prices must follow a mean-reverting process. Using both the return predictability test based on long-horizon regression and the variance ratio test, we find that mean reversion does not exist in futures prices for corn, wheat, soybeans, soybean oil and soybean meal. The findings are consistent with the weak form of market efficiency. The results of the study imply that rollover hedging should not be seriously considered as a marketing alternative. As long as the commodity markets are efficient, the... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Rollover hedging; Mean reversion; Market efficiency; Marketing. |
| Ano: 2000 |
URL: http://purl.umn.edu/18938 |
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| Holt, Bryce R.; Irwin, Scott H.. |
| This study uses the newly available data from the CFTC to investigate the market impact of futures trading by large hedge funds and CTAs. Regression results show that there is a positive relationship between the trading volume of large hedge funds and CTAs and market volatility. However, a positive relationship between hedge fund and CTA trading volume and market volatility is consistent with either a private information or noise trader hypothesis. Three additional tests are conducted to distinguish between the private information hypothesis and the noise trader hypothesis. The first test consisted of identifying the noise component exhibited in return variances over different holding periods. The variance ratio tests provide little support for the noise... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Hedge fund; Commodity trading advisor; Volatility; Market efficiency; Futures markets; Marketing. |
| Ano: 2000 |
URL: http://purl.umn.edu/18935 |
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| George, Owuor; Bocklain, Bebe. |
| This study explored appropriate options for smallholders to maximise market price for Indigenous chicken products in rural and urban markets in Western Kenya (Rongo, Homabay and Kisii in 2008 with results revealing that, the major participants along the indigenous chicken supply chains are village brokers, distant traders, and urban assemblers, who eventually sell hotels, butchers and households. Buyers preferred hens followed by cocks, and attached greater preference on weight and high market prices. The price differential was un-uniform, with the larger differentials recorded between farmers and the middlemen. Turnover and losses were however the key determinants of the selling price. The study thus recommends training of farmers on the market linkages... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Indigenous chicken; Market efficiency; Kenya; Agribusiness; Productivity Analysis. |
| Ano: 2009 |
URL: http://purl.umn.edu/53075 |
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| Registros recuperados: 16 | |
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