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A BEHAVIORAL APPROACH TOWARDS FUTURES CONTRACT USAGE. AgEcon
Pennings, Joost M.E.; Leuthold, Raymond M..
We propose a behavioral decision-making model to investigate what factors, observable as well as unobservable, owner-managers consider regarding futures contract usage. The conceptual model consists of two phases, reflecting the two-stage decision structure of manager’s use of futures. In the first phase owner-managers consider whether futures are within the market choice set for the enterprise. In the second phase the owner-manager decides whether or not to initiate a futures position when confronted with a concrete choice situation. In both phases owner-manager’s beliefs and perceptions play an important role. The proposed model is tested on a data set of Dutch farmers, based on computer-assisted personal interviews. Because we incorporate latent...
Tipo: Working or Discussion Paper Palavras-chave: Hedging; Futures; Structural equation modeling; Behavioral models; Futures exchanges; Choice models; Farmers; Institutional and Behavioral Economics.
Ano: 2001 URL: http://purl.umn.edu/46448
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A NOTE ON THE FACTORS AFFECTING CORN BASIS RELATIONSHIPS AgEcon
Naik, Gopal; Leuthold, Raymond M..
Empirical tests were made of components of the corn basis in the U.S. utilizing a general theory of intertemporal price relationships for storable commodities. These tests showed that the basis consists of a risk premium, a speculative component, and a maturity basis apart from other factors such as storage costs for storable commodities. The results provide insights into factors affecting basis patterns for corn.
Tipo: Journal Article Palavras-chave: Demand and Price Analysis.
Ano: 1991 URL: http://purl.umn.edu/30309
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CASH AND FUTURES PRICE RELATIONSHIPS FOR NONSTORABLE COMMODITIES: AN EMPIRICAL ANALYSIS USING A GENERAL THEORY AgEcon
Naik, Gopal; Leuthold, Raymond M..
Empirical analysis examines the presence of basis risk, speculative component, and expected maturity basis component in basis relationships for nonstorable commodities. The results indicate that all three above components exist in both cattle and hog markets. The basis risk and speculative components vary across contracts. Hog markets showed seasonality, which helps explain the hog basis more accurately. Flexibility in making the marketing decision strengthens the explanation of intertemporal price relationships for both cattle and hogs beyond that previously attributed to only feed prices.
Tipo: Journal Article Palavras-chave: Demand and Price Analysis; Marketing.
Ano: 1988 URL: http://purl.umn.edu/32106
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EVALUATING THE HEDGING POTENTIAL OF THE LEAN HOG FUTURES CONTRACT AgEcon
Ditsch, Mark W.; Leuthold, Raymond M..
The lean hog futures contract is replacing the live hog futures contract at the Chicago Mercantile Exchange beginning with the February 1997 contract. The lean hog futures will be cash settled based on a broad-based lean hog price index, eliminating terminal markets from the price discovery process. Using this index over a twenty-month period as a proxy for the lean hog futures price, this paper compares the hedging effectiveness of the live hog futures contract to the hedging potential of the lean hog futures contract for cash live hogs as well as four cash meat cuts. Frozen pork bellies futures are also examined for the cash meats. Both long-term and short-term hedges are simulated, using the minimum-variance approach, which utilizes only unconditional...
Tipo: Working or Discussion Paper Palavras-chave: Marketing.
Ano: 1996 URL: http://purl.umn.edu/14769
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FORECASTING FED CATTLE, FEEDER CATTLE, AND CORN CASH PRICE VOLATILITY: THE ACCURACY OF TIME SERIES, IMPLIED VOLATILITY, AND COMPOSITE APPROACHES AgEcon
Manfredo, Mark R.; Leuthold, Raymond M.; Irwin, Scott H..
Economists and others need estimates of future cash price volatility to use in risk management evaluation and education programs. This paper evaluates the performance of alternative volatility forecasts for fed cattle, feeder cattle, and corn cash price returns. Forecasts include time series (e.g. GARCH), implied volatility from options on futures contracts, and composite specifications. The overriding finding from this research, consistent with the existing volatility forecasting literature, is that no single method of volatility forecasting provides superior accuracy across alternative data sets and horizons. However, evidence is provided suggesting that risk managers and extension educators use composite methods when both time series implied...
Tipo: Journal Article Palavras-chave: Composite forecasting; Implied volatility; Time series; Volatility forecasting.; Demand and Price Analysis.
Ano: 2001 URL: http://purl.umn.edu/15449
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Local Polynomial Kernel Forecasts and Management of Price Risks using Futures Markets AgEcon
Kim, MinKyoung; Leuthold, Raymond M.; Garcia, Philip.
This study contributes to understanding price risk management through hedging strategies in a forecasting context. A relatively new forecasting method, nonparametric local polynomial kernel (LPK), is used and applied to the hog sector. The selective multiproduct hedge based on the LPK price and hedge ratio forecasts is, in general, found to be better than continuous hedge and alternative forecasting procedures in terms of reduction of variance of unhedged return. The findings indicate that combining hedging with forecasts, especially when using the LPK technique, can potentially improve price risk management.
Tipo: Conference Paper or Presentation Palavras-chave: Marketing.
Ano: 2001 URL: http://purl.umn.edu/18966
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MANAGING OVERNIGHT CORN PRICE RISKS: E*HEDGING VERSUS TOKYO AgEcon
Leuthold, Raymond M.; Kim, MinKyoung.
This study investigates whether U.S. corn merchants can effectively manage the overnight price risk of cash corn purchased after the Chicago Board of Trade closes at 1:15 p.m. on either the electronic Project A market or in the corn contract traded on the Tokyo Grain Exchange. While neither market provides a very effective alternative using traditional measures of analysis, e*hedging on Project A is more effective than hedging in Tokyo. Both could be very effective for those merchants in the market every day. However, trading of corn futures contracts on Project A remains thin and likely illiquid, limiting its usefulness.
Tipo: Journal Article Palavras-chave: Corn; E*hedging; Electronic markets; Futures markets; Hedging; Overnight price risks; Project A; Tokyo Grain Exchange; Marketing.
Ano: 2000 URL: http://purl.umn.edu/14718
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MEASURING MARKET RISK OF THE CATTLE FEEDING MARGIN: AN APPLICATION OF VALUE-AT-RISK ANALYSIS AgEcon
Manfredo, Mark R.; Leuthold, Raymond M..
VaR gives a prediction of potential portfolio losses, with a certain level of confidence, that may be encountered over a specified time period due to adverse price movements in the portfolio's assets. For example, a VaR of 1 million dollars at the 95% level of confidence implies that overall portfolio losses should not exceed 1 million dollars more than 5% of the time over a given holding period. This research examines the effectiveness of VaR measures, developed using alternative estimation techniques, in predicting large losses in the cattle feeding margin. Results show that several estimation techniques, both parametric and non-parametric, provide well calibrated VaR estimates such that violations (losses exceed the VaR estimate) are commensurate...
Tipo: Conference Paper or Presentation Palavras-chave: Value-at-Risk; Cattle Feeding; Volatility; Livestock Production/Industries; Risk and Uncertainty.
Ano: 1999 URL: http://purl.umn.edu/21628
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NOISE TRADE DEMAND IN FUTURES MARKETS AgEcon
Sanders, Dwight R.; Irwin, Scott H.; Leuthold, Raymond M..
Theoretical noise trader models suggest that uninformed traders can impact market prices. However, these models' conclusions depend crucially on the assumed specification for noise trader demand. This research seeks to empirically determine the appropriate demand specification for uninformed traders. Using commercial market sentiment indices as proxies for noise trader demand, Granger causality models are estimated to examine the linear linkages between sentiment and futures returns. The models strongly suggest that noise traders are positive feedback traders (i.e., extrapolative expectations) with relatively long memories.
Tipo: Working or Discussion Paper Palavras-chave: Marketing.
Ano: 1996 URL: http://purl.umn.edu/14765
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NONPARAMETRIC KERNEL ESTIMATION OF MULTIPLE HEDGE RATIOS AgEcon
Kim, MinKyoung; Leuthold, Raymond M..
It is possible for the traditional hedge ratio estimation to produce erroneous guidance to risk managers because of the restrictive assumptions. This study adopts nonparametric locally polynomial kernel estimation to exclude the assumptions. Results from the hog complex find that hedge ratios estimated by local polynomial kernel regression outperform naïve and GARCH models. Because of the potential assumption violations associated with the estimation and implementation of hedge ratios by GARCH models, LPK is a reasonable alternative for estimating hedge ratios to manage price risks.
Tipo: Conference Paper or Presentation Palavras-chave: Marketing; Research Methods/ Statistical Methods; Risk and Uncertainty.
Ano: 2000 URL: http://purl.umn.edu/21737
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OPTIMAL HEDGING STRATEGIES FOR THE U.S. CATTLE FEEDER AgEcon
Leuthold, Raymond M.; Noussinov, Mikhail A..
Multiproduct optimal hedging for simulated cattle feeding is compared to alternative hedging strategies using weekly price data for 1983-95. Out-of-sample means and variances of hedged feeding margins using estimated hedge ratios for four commodities suggest that there is no consistent domination pattern among the alternative strategies, leaving the hedging decision up to the agent's degree of risk aversion. However, all hedging strategies significantly reduce the feeding margin's means and variances compared to no hedging, with variance reduction always exceeding 50%. Hedging results appear quite sensitive to the data set and its size.
Tipo: Journal Article Palavras-chave: Cattle feeding; Hedge ratios; Hedging strategies; Multiproduct hedging; Optimal hedging; Marketing.
Ano: 1999 URL: http://purl.umn.edu/14679
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THE DISTRIBUTIONAL BEHAVIOR OF FUTURES PRICE SPREAD CHARGES: PARAMETRIC AND NONPARAMETRIC TESTS FOR GOLD, T-BONDS, CORN AND LIVE CATTLE AgEcon
Kim, MinKyoung; Leuthold, Raymond M..
The distributional behavior for futures price spread changes is examined through parametric and nonparametric tests on four different commodities: corn and live cattle, and gold and T-bonds with two different sample sizes. Data are examined for selected periods, stable (1992) and unstable (1988). Remarkably different results were found over commodities, time period, and sample size. Actual spread changes for the smaller sample size of gold and T-bonds and of corn produced more normal distributions as intervals were widened from daily to weekly, while all live cattle spreads for actual changes were normally distributed. However, the larger sample size of both gold and T-bonds and the relative spread changes for both corn and live cattle did not converge...
Tipo: Working or Discussion Paper Palavras-chave: Marketing.
Ano: 1997 URL: http://purl.umn.edu/14767
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THE DISTRIBUTIONAL BEHAVIOR OF FUTURES PRICE SPREADS AgEcon
Kim, MinKyoung; Leuthold, Raymond M..
The distributional behavior of futures price spreads is examined for four commodities: corn, live cattle, gold and T-bonds. Remarkably different results are found over commodities, time period, and sample size. Actual spread changes for the smaller sample size of gold and T-bonds and for corn produce more normal distributions for weekly than for daily differencing intervals, while all live cattle spreads for actual changes are normally distributed. However, the larger sample size of both gold and T-bonds and the relative spread changes for corn and live cattle do not become more normally distributed under temporal aggregation of the data.
Tipo: Journal Article Palavras-chave: Corn; Futures price spreads; Gold; Goodness of fit; Live cattle; Normality tests; Spread distributions; T-bonds; Marketing.
Ano: 2000 URL: http://purl.umn.edu/15399
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THE FEASIBILITY OF A BOXED BEEF FUTURES CONTRACT: HEDGING WHOLESALE BEEF CUTS AgEcon
Mattos, Fabio; Garcia, Philip; Leuthold, Raymond M.; Hahn, Tony.
The purpose of this paper is to investigate the feasibility of a new futures contract for hedging wholesale transactions in the beef industry based on the USDA boxed beef cutout index (BBCO). The results suggest the live cattle futures contract is not an adequate tool to manage the price risk of wholesale meat transactions in the beef industry. However, a futures contract based on the BBCO index might provide considerably more opportunities for the hedging of wholesale meat cut prices. A pattern of improved hedging effectiveness at more distant horizons also appears to emerge for the individual cuts of meat using the conditional hedge procedures. These results may be of particular interest to members of the meat industry with longer planning horizons,...
Tipo: Conference Paper or Presentation Palavras-chave: Hedge ratio; Hedging effectiveness; Boxed-beef cutout; Wholesale beef prices; Marketing.
Ano: 2003 URL: http://purl.umn.edu/18986
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THE THEORY OF CONTRARY OPINION: A TEST USING SENTIMENT INDICES IN FUTURES MARKETS AgEcon
Sanders, Dwight R.; Irwin, Scott H.; Leuthold, Raymond M..
The theory of contrary opinion predicts price reversals following extremes in market sentiment. This research tests a survey-based sentiment index's usefulness as a contrary indicator across 28 U.S. futures markets. Using rigorous time-series tests, the sentiment index displays only a sporadic and marginal ability to predict returns, and in those instances the pattern is one of return continuation--not reversals. Therefore, futures traders who rely solely upon sentiment indices as contrary indicators may be misguided.
Tipo: Journal Article Palavras-chave: Bullish consensus; Contrary opinion; Market sentiment; Marketing.
Ano: 2003 URL: http://purl.umn.edu/14673
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TIME-VARYING MULTIPRODUCT HEDGE RATIO ESTIMATION IN THE SOYBEAN COMPLEX: A SIMPLIFIED APPROACH AgEcon
Manfredo, Mark R.; Garcia, Philip; Leuthold, Raymond M..
In developing optimal hedge ratios for the soybean processing margin, many authors have illustrated the importance of considering the interactions between the cash and futures prices for soybeans, soybean oil, and soybean meal. Conditional as well as time-varying hedge ratios have been examined, but in the case of multiproduct time-varying hedge ratios, the difficulty in estimation has been found to often outweigh any improvement in hedging effectiveness. This research examines the hedging effectiveness of the Risk Metrics procedure for estimating a time-varying covariance matrix for developing optimal hedge ratios for the soybean processing margin. The Risk Metrics method allows for a time-varying covariance matrix while being considerably easier to...
Tipo: Conference Paper or Presentation Palavras-chave: Marketing.
Ano: 2000 URL: http://purl.umn.edu/18933
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USING MECHANICAL TRADING SYSTEMS TO EVALUATE THE WEAK FORM EFFICIENCY OF FUTURES MARKETS AgEcon
Peterson, Paul E.; Leuthold, Raymond M..
Tipo: Journal Article Palavras-chave: Research and Development/Tech Change/Emerging Technologies.
Ano: 1982 URL: http://purl.umn.edu/29574
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