|
|
|
|
|
| Ethier, Robert G.. |
| Valuation of electricity generating assets is of central importance as utilities are forced to spin-off generators with the introduction of competitive markets. A continuous-time mean reverting price path with stochastic upward jumps is proposed as an appropriate model for long-run competitive electricity prices faced by a generator. A real options model is derived via dynamic programming using infinite series solutions. The derived model produces asset values which are uniformly higher than those produced by existing models, and which accurately predict observed generator sale prices. The model has favorable implications for stranded cost recovery and generator entry in competitive markets. |
| Tipo: Working or Discussion Paper |
Palavras-chave: Real options; Electricity deregulation; Mean reversion; Jump processes; Asset valuation; Marketing. |
| Ano: 1999 |
URL: http://purl.umn.edu/7222 |
| |
|
|
| 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 |
| |
|
|
| 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 |
| |
|
|
| Xu, Hai Yan; Ward, Bert D.; Nartea, Gilbert V.. |
| This paper uses the one-factor models proposed by Chan, Karolyi, Longstaff and Sanders (CKLS, 1992) to study the short-term interest rate in China. Nine stochastic models of the short-term interest rate were estimated with GMM. For the Chinese one-month inter bank loan rate, the research finds strong evidence for a mean-reverting feature in the short-term interest yield curve, but no evidence was found to indicate that the volatility is highly positively correlated with the level of interest rates. What is more, evidence was found that the CKLS model, the CIR SR model, and the Brennan-Schwartz model are correctly specified to model the Chinese short-term interest rate, so that these three models are able to adequately capture the dynamics of this interest... |
| Tipo: Journal Article |
Palavras-chave: Single-factor models; Mean reversion; GMM estimation; Prediction tests; Financial Economics; C52; E43. |
| Ano: 2007 |
URL: http://purl.umn.edu/50157 |
| |
|
|
| Kim, Hyun Seok; Brorsen, B. Wade; Anderson, Kim B.. |
| Some extension economists and others often recommend profit margin hedging in choosing the timing of crop sales. This paper determines producer’s utility function and price processes where profit margin hedging is optimal. Profit margin hedging is shown to be an optimal strategy under a highly restricted target utility function even in an efficient market. Although profit margin hedging is not the optimal rule in the presence of mean reversion, it can still be profitable if prices are mean reverting. Simulations are also conducted to compare the expected utility of profit margin hedging strategy with the expected utility of other strategy such as always hedging and selling at harvest strategies. A variance ratio test is conducted to test for the existence... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Expected utility; Mean reversion; Profit margin hedging; Target. |
| Ano: 2007 |
URL: http://purl.umn.edu/37570 |
| |
|
|
|
