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| Registros recuperados: 12 | |
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| Egelkraut, Thorsten M.; Sherrick, Bruce J.; Garcia, Philip; Pennings, Joost M.E.. |
| Using survey responses of Illinois corn farmers to differently framed yield questions, we examine their subjective information by relating stated yields and risk to the corresponding objective county measures. The results show that farm-level yields can be best characterized by soliciting probabilistic information, which provides more accurate yield assessments than an open-ended frame and consistent estimates of producers subjective risk. Moreover, we find that overconfidence can be confused with differences in relevant information and that using recent data may be more appropriate in examining subjective risk statements. Our results are important for agricultural policy-makers and researchers, particularly those who work with surveys that include... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Crop Production/Industries. |
| Ano: 2006 |
URL: http://purl.umn.edu/18991 |
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| Egelkraut, Thorsten M.; Garcia, Philip; Pennings, Joost M.E.; Sherrick, Bruce J.. |
| Using survey data from 258 Illinois corn farmers, we investigate the relationship between subjective and objective yield measures and their effect on the use of crop insurance. Our findings show that producers view themselves as better than average with respect to yields and in terms of their variability, and that over- and underconfidence also influence their use of crop insurance. The effects are not symmetric, overconfidence is primarily reflected in the larger-than-average yield, while underconfidence emerges mainly in the larger-than-average variability. Crop insurance use is further affected by risk preferences and county yield variability. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Risk and Uncertainty. |
| Ano: 2006 |
URL: http://purl.umn.edu/21369 |
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| Egelkraut, Thorsten M.; Garcia, Philip. |
| Options with different maturities can be used to generate an implied forward volatility, a volatility forecast for non-overlapping future time intervals. Using five commodities with varying characteristics, we find that the implied forward volatility dominates forecasts based on historical volatility information, but that the predictive accuracy is affected by the commodity's characteristics. Unbiased and efficient corn and soybeans market forecasts are attributable to the well-established volatility during crucial growing periods. For soybean meal, wheat, and hogs volatility is less predictable, and investors appear to demand a risk premium for bearing volatility risk. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Marketing. |
| Ano: 2005 |
URL: http://purl.umn.edu/19033 |
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| Egelkraut, Thorsten M.; Garcia, Philip; Irwin, Scott H.; Good, Darrel L.. |
| Using 1971-2000 data, we examine the accuracy of corn and soybean production forecasts provided by the USDA and two private services. All agencies improved their forecasts as the harvest progressed, and forecast errors across the agencies were highly correlated. Relative accuracy varied by crop and month. In corn, USDA 's forecasts ranked as most accurate in all periods except in August during recent times, and improved more markedly as harvest progressed. In soybeans, forecast errors were very similar with the private agencies ranking as most accurate in August and September and making largest relative improvements in August during recent times. The USDA provided the most accurate October and November forecasts. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Crop Production/Industries. |
| Ano: 2002 |
URL: http://purl.umn.edu/19068 |
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| Pennings, Joost M.E.; Egelkraut, Thorsten M.. |
| In a brief literature review, we discuss how our insight into the grounds of existence of futures markets has changed from the initial insurance perspective, to the arbitrage perspective, to the portfolio perspective, and to the current institutional perspective. We discuss futures market research within agricultural marketing, on the one hand, and within finance, on the other hand. The research within these two disciplines may be considered complementary. Subsequently, a new research model is presented which integrates both strains of research. The new research model is illustrated for the Dutch hog industry. This model is a powerful instrument in the development of new commodity futures contracts. Finally, a future research agenda for agricultural... |
| Tipo: Journal Article |
Palavras-chave: Agricultural futures markets; Research approaches; Financemarketing integration; Financial Economics. |
| Ano: 2003 |
URL: http://purl.umn.edu/97980 |
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| Egelkraut, Thorsten M.; Garcia, Philip. |
| This analysis examines a simultaneous estimation option-based approach to forecast futures prices in the presence of daily price limit moves. The procedure explicitly allows for changing implied volatilities by estimating the implied futures price and the implied volatility simultaneously. Using 15 years of futures and futures options data for three agricultural commodities, we find that the simultaneous estimation approach accounts for the abrupt changes in implied volatility associated with limit moves and generates more accurate price forecasts than conventional methods that rely on only one implied variable. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Demand and Price Analysis; Marketing. |
| Ano: 2004 |
URL: http://purl.umn.edu/19021 |
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| Egelkraut, Thorsten M.; Garcia, Philip; Sherrick, Bruce J.. |
| Options with different maturities can be used to generate volatility estimates for non-overlapping future time intervals. This paper develops the term structure of volatility implied by corn futures options, and evaluates the informational content of the implied forward volatility as a predictor of subsequent realized volatility. Using data from 1987-2001 and employing a flexible method to obtain the implied forward volatilities, two types of information are examined: 1) the market's estimate of future realized volatility for the nearby interval of the term structure and, 2) the market's expectation of the direction and magnitude of change of future realized volatility over time. In contrast to previous research, the results indicate that the implied... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Corn options; Implied forward volatility; Informational content; Term structure; Marketing. |
| Ano: 2003 |
URL: http://purl.umn.edu/18983 |
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| Egelkraut, Thorsten M.; Garcia, Philip. |
| Options with different maturities can be used to generate an implied forward volatility, a volatility forecast for non-overlapping future time intervals. Using five commodities with varying characteristics, we find that the implied forward volatility dominates forecasts based on historical volatility information, but that the predictive accuracy is affected by the commodity's characteristics. Unbiased and efficient corn and soybeans market forecasts are attributable to the well-established volatility during crucial growing periods. For soybean meal, wheat, and hogs, volatility is less predictable and investors appear to demand a risk premium for bearing volatility risk. |
| Tipo: Journal Article |
Palavras-chave: Agricultural commodity; Efficiency; Forecasts; Implied forward volatility; Options; Marketing. |
| Ano: 2006 |
URL: http://purl.umn.edu/8637 |
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| Egelkraut, Thorsten M.; Garcia, Philip; Irwin, Scott H.; Good, Darrel L.. |
| Using 1971-2000 data, we examine the accuracy of corn and soybean production forecasts provided by the USDA and two private agencies. All agencies improved their forecasts as the harvest progressed, and forecast errors were highly correlated and unbiased. The relative forecast accuracy of the agencies varied by crop and month. For corn, USDA’s forecasts ranked as most accurate of the three agencies in all periods except for august during the recent period and improved most markedly as harvest progressed. For soybeans, forecast errors were very similar, with the private agencies ranking as most accurate for August and September and making largest relative improvements for August during the recent period. The USDA forecasts were dominant for October and... |
| Tipo: Journal Article |
Palavras-chave: Corn; Private agencies; Production forecasts; Soybeans; USDA; Q11; Q13; C82; Q18. |
| Ano: 2003 |
URL: http://purl.umn.edu/37835 |
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| Pennings, Joost M.E.; Egelkraut, Thorsten M.. |
| This paper advances a behavioral perspective on the existence of futures markets. The proposed approach extends and complements the existing framework by focusing on the interorganizational relationships between buyers and sellers. We show how decision-makers' risk attitudes and risk preferences determine contract preferences, and how potential conflicts in these contract preferences may hamper subsequent business relationships between parties. Futures markets can therefore be viewed as third-party services with the ability to solve potential conflicts in decision-makers' contract preferences. Our approach explains why we observe marketing channel structures despite the different contract preferences of the parties involved. The expansion of theory in... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Marketing. |
| Ano: 2005 |
URL: http://purl.umn.edu/19433 |
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| Egelkraut, Thorsten M.; Woodard, Joshua D.; Garcia, Philip; Pennings, Joost M.E.. |
| This study extends previous work on the impact of commodity futures on portfolio performance by explicitly incorporating levered futures into the portfolio optimization problem. Using data on nine individual commodity futures and one aggregate index from 1994-2003, we find that collateralized and levered futures strategies perform similarly in an ex-post context. Significant differences between the approaches emerge however when constraints on investment behavior exist. Further, levered futures do not result in a prohibitive number of margin calls. The investment performances of the collateralized and the levered strategies vary little across different rebalancing intervals, and frequent portfolio rebalancing does not necessarily result in superior... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Marketing. |
| Ano: 2005 |
URL: http://purl.umn.edu/19047 |
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| Registros recuperados: 12 | |
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