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Wheat Forward Contract Pricing: Evidence on Forecast Power and Risk Premia AgEcon
Shi, Wei; Irwin, Scott H.; Good, Darrel L.; Dietz, Sarah N..
While the risk premium hypothesis in futures markets has been the subject of a long and continuous controversy, the risk premium hypothesis in forward markets is also of interest among economists. The hypothesis is supported by some theoretical arguments and empirical evidence yet remains an open question. We in this study apply a two-equation regression model similar to those used in (Fama and French (1987} and de Roon et al. (1998) to analyze the risk premiums in forward markets, particularly, using the pre-harvest wheat forward markets in Illinois (1982-2004) and Kansas (1990-2004) as an example. The two-equation regression model consists of a forecasting equation, which uses a forward basis during a pre-harvest period to forecast the spot basis at the...
Tipo: Conference Paper or Presentation Palavras-chave: Marketing.
Ano: 2005 URL: http://purl.umn.edu/19043
Registros recuperados: 121
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