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| Registros recuperados: 15 | |
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| Dahlgran, Roger A.. |
| This study examines the effect of transaction frequency on profit and cash flow risk for firms that periodically purchase inputs, continuously transform inputs into outputs, and periodically sell output. Soybean-processing profit and cash flows are computed for unhedged, direct-hedged, and risk-minimizing-hedged processing with up to 52 transactions per year. Findings include: (a) higher transaction frequencies result in lower unhedged profit and cash flow risk and lower hedging effectiveness, (b) anticipatory hedging provides less risk protection than product-transformation hedging, (c) stabilizing cash flow stabilizes annual profits but the converse does not hold, and (d) hedging profits makes cash flow more variable. |
| Tipo: Journal Article |
Palavras-chave: Process hedging; Risk management; Soybean crushing; Agribusiness. |
| Ano: 2005 |
URL: http://purl.umn.edu/30985 |
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| Dahlgran, Roger A.. |
| In response to the development of the U.S. ethanol industry, the Chicago Board of Trade (CBOT) launched the ethanol futures contract in March 2005. This contract is promoted by the CBOT as allowing ethanol producers to hedge corn crushing using strategies similar to those used in soybean crushing. The similarities end, however, when the lack of short-term correlation between corn and ethanol prices is compared to the strong correlation between soybean and soy product prices. This contrast motivates the examination of the price risk management capabilities of the CBOT’s ethanol futures contract. Standard hedging methodology is applied to weekly cash and futures price data from March 23, 2005 through March 7, 2007. Findings include (1) for two- to eight-week... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Ethanol futures; Hedging; Cross hedging; Corn crushing; Processing hedge. |
| Ano: 2007 |
URL: http://purl.umn.edu/37557 |
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| Dahlgran, Roger A.. |
| Recently developed ethanol futures contracts now allow direct-hedging by ethanol producers. This study examines the effectiveness of one-through eight-week hedges between 2005 and 2008. Our findings show (a) ethanol inventory hedging effectiveness is significant for two-week and longer hedges, and increases with the hedging horizon; (b) ethanol futures are significantly superior to gasoline futures for hedging ethanol price risk for two-week and longer hedges; (c) the corn crushing hedge, utilizing corn and ethanol futures, is effective and provides price risk management capabilities comparable to those provided by the soybean crush hedge. |
| Tipo: Journal Article |
Palavras-chave: Corn crushing; Cross-hedging; Ethanol futures; Hedging; Processing hedge; Agricultural Finance; Crop Production/Industries. |
| Ano: 2009 |
URL: http://purl.umn.edu/50081 |
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| Dahlgran, Roger A.. |
| This study examines strategies for hedging processing operations generally and uses soybean processing as a specific example. The approach assumes a mean-variance utility function but because of the focus on hedging, the analysis concentrates on risk minimization with risk defined as the variance of the processing margin from its currently expected level. We find that risk so defined contains three components. These are (1) the risk of input/output cash price misalignment at the time of transactions, (2) the risk resulting from the firm's inability to utilize inputs and produce outputs in proportion to the mix that minimizes risk in cash market transactions, and (3) the risk of price change during the time between the purchase of inputs and the sale of... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Crop Production/Industries. |
| Ano: 2002 |
URL: http://purl.umn.edu/19054 |
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| Dahlgran, Roger A.. |
| This study examines hedging strategies for commodity processors generally and soybean crushers specifically. Processors require hedging strategies built around processing multiple batches each year. Each batch requires the purchase of inputs, transformation of inputs into outputs, and sale of the resulting output. The more batches processed, the greater the transaction frequency, the smaller each batch's size. Increased transaction frequency reduces risk because of the smaller batch size. This study distinguishes between batch (accounting) profits and periodic profits (cash flows). Traditional hedging models have focused on batch profits but we argue that hedging cash flows are also a legitimate hedging target because (a) discounted cash flow is the... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Agribusiness; Marketing. |
| Ano: 2004 |
URL: http://purl.umn.edu/19012 |
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| Dahlgran, Roger A.. |
| Hedge ratio estimation studies avoid estimating hedge ratios for imminently maturing futures contracts because of the maturity effect whereby futures price volatility increases as price uncertainty is resolved at contract expiration. This study first points out that a futures-price volatility increase is neither necessary nor sufficient for reduced hedging effectiveness because hedging effectiveness depends on the cash-futures price correlation. To analyze the hedging performance of imminently maturing futures contracts risk is defined as the conditional variance of profit outcomes. The conditional mean is modeled as Brownian motion. This model was fit to cash and futures price data for corn, cotton, feeder cattle, soybeans, soybean oil, and soybean... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Maturity effect; Hedging effectiveness; Risk management; Marketing. |
| Ano: 2003 |
URL: http://purl.umn.edu/18982 |
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| Dahlgran, Roger A.. |
| Agribusinesses make long-term plant-investment decisions based on discounted cash flow. It is therefore incongruous for an agribusiness firm to use cash flow as a plant-investment criterion and then to completely discard cash flow in favor of batch profits as an operating objective. This paper assumes that cash flow and its stability is important to commodity processors and examines methods for hedging cash flows under continuous processing. Its objectives are (a) to determine how standard hedging models should be modified to hedge cash flows, (b) to outline the differences between cash flow hedging and profit hedging, and (c) to determine the effectiveness of hedging in reducing cash flow variability. A cash flow hedging methodology is developed.... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Agribusiness; Marketing. |
| Ano: 2005 |
URL: http://purl.umn.edu/19046 |
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| Dahlgran, Roger A.. |
| This paper develops a general model of cash and futures markets for a storable commodity. The cash market model is characterized by the incorporation of long hedged to establish contractual claims against existing inventories, which may be either short hedged or unhedged. The futures market model incorporates outright speculation as well as spread speculation. The paper then examines through mathematical analysis the characteristics these markets must possess if they are informationally efficient, if they are conformable for testing price discovery, and if they are integrated in the short or long run. Thus far results indicate that informationally efficient futures markets are characterized by any one of five conditions: (1) perfectly inelastic... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Marketing. |
| Ano: 2000 |
URL: http://purl.umn.edu/36334 |
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| Dahlgran, Roger A.. |
| This paper surveys the extent and application of Internet-enhanced course instruction in agricultural economics. We find that roughly thirty percent of agricultural economics courses have websites and that the purpose of these websites is to distribute course documents. We argue that this application substitutes readily for traditional teaching methods. According to production economics principles, introduction of an input that substitutes readily for an existing input will not increase production. Therefore, we would not expect course websites used in this manner to greatly enhance learning. We briefly discuss Internet-based tools that offer greater potential benefits than simple document distribution. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Teaching/Communication/Extension/Profession. |
| Ano: 2001 |
URL: http://purl.umn.edu/36175 |
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| Dahlgran, Roger A.. |
| This paper describes the programming procedures required to implement online homework and evaluates the application of these procedures based on use in the author's course. The description of the procedures utilizes a template showing two representative applications from the author's introductory econometrics course. In one, the students are to collect and record data and in the other, students are to perform econometric analysis on the data. The web address for the template is arec.arizona.edu/RoboTA. The use of online homework in the author's economics of futures market course revealed that the benefit-cost tradeoff is between the savings of instructional time spent grading homework and increased instructional time spent developing homework... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Teaching/Communication/Extension/Profession. |
| Ano: 2002 |
URL: http://purl.umn.edu/36583 |
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| Dahlgran, Roger A.. |
| Agribusinesses make long-term plant-investment decisions based on discounted cash flow. It is therefore incongruous for an agribusiness firm to use cash flow as a plant-investment criterion and then to completely discard cash flow in favor of batch profits as an operating objective. This paper assumes that cash flow and its stability are important to commodity processors and examines methods for hedging cash flows under continuous processing. Its objectives are (a) to determine how standard hedging models should be modified to hedge cash flows, (b) to outline the differences between cash flow hedging and profit hedging, and (c) to determine the effectiveness of hedging in reducing cash flow variability. A cash flow hedging methodology is developed.... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Agribusiness; Marketing. |
| Ano: 2006 |
URL: http://purl.umn.edu/19007 |
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| Dahlgran, Roger A.; Ma, Xudong. |
| This study focuses on hedging effectiveness defined as the proportionate price risk reduction created by hedging. By mathematical and simulation analysis we determine the following: (a) the regression R2 in the hedge ratio regression will generally overstate the amount of price risk reduction that can be achieved by hedging, (b) the properly computed hedging effectiveness in the hedge ratio regression will also generally overstate the amount of risk reduction that can be achieved by hedging, (c) the overstatement in (b) declines as the sample size increases, (d) application of estimated hedge ratios to non sample data results in an unbiased estimate of hedging effectiveness, (e) application of hedge ratios computed from small samples presents a significant... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Out of sample; Post sample; Hedging; Effectiveness; Forecasts; Simulation; Agricultural Finance. |
| Ano: 2008 |
URL: http://purl.umn.edu/37604 |
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| Dahlgran, Roger A.. |
| A Rotterdam demand model is used to detect evidence of structural change in beef, pork, and chicken demands. The demand model is partially inverted prior to estimation to account for meat supply fixity. Estimation uses a likelihood maximization routine applied to 1950 through 1985 annual data. The results suggest severe disruption in the meat markets in the 1970s. A comparison of the 1980s and the 1960s elasticity structures reveals that income and cross-price elasticities are nearly the same but direct price elasticities are lower and are trending toward even more inelasticity. Implications for pricing and risk management are discussed. |
| Tipo: Journal Article |
Palavras-chave: Demand and Price Analysis; Livestock Production/Industries. |
| Ano: 1987 |
URL: http://purl.umn.edu/32223 |
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| Registros recuperados: 15 | |
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