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Hedging Effectiveness Around U.S. Department of Agriculture Crop Reports AgEcon
McKenzie, Andrew M.; Singh, Navinderpal.
It is well documented that ‘‘unanticipated’’ information contained in United States Department of Agriculture (USDA) crop reports induces large price reactions in corn and soybean markets. Thus, a natural question that arises from this literature is: To what extent are futures hedges able to remove or reduce increased price risk around report release dates? This paper addresses this question by simulating daily futures returns, daily cash returns, and daily hedged returns around report release dates for two storable commodities (corn and soybeans) in two market settings (North Central Illinois and Memphis, Tennessee). Various risk measures, including ‘‘Value at Risk,’’ are used to determine hedging effectiveness, and ‘‘Analysis of Variance’’ is used to...
Tipo: Journal Article Palavras-chave: Analysis of variance; Storage hedging; United States Department of Agriculture Crop Reports; Value at risk; Marketing; Risk and Uncertainty; Q13; D81.
Ano: 2011 URL: http://purl.umn.edu/100635
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Hedging Effectiveness around USDA Crop Reports AgEcon
McKenzie, Andrew M.; Singh, Navinderpal.
It is well documented that “unanticipated” information contained in USDA crop reports induces large price reactions in corn and soybean markets. Thus, a natural question that arises from this literature is: To what extent are futures hedges able to remove or reduce increased price risk around report release dates? This paper addresses this question by simulating daily futures returns, daily cash returns and daily hedged returns around report release dates for two storable commodities (corn and soybeans) in two market settings (North Central Illinois and Memphis Tennessee). Various risk measures, including “Value at Risk,” are used to determine hedging effectiveness, and “Analysis of Variance” is used to uncover the underlying factors that contribute to...
Tipo: Conference Paper or Presentation Palavras-chave: USDA Crop Reports; Storage Hedging; Value At Risk; Analysis of Variance; Agricultural Finance.
Ano: 2008 URL: http://purl.umn.edu/37617
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Hedging Effectiveness around USDA Crop Reports AgEcon
Singh, Navinderpal; McKenzie, Andrew M..
It is well documented that “unanticipated” information contained in USDA crop reports induces large price reactions in corn and soybean markets. Thus, a natural question that arises from this literature is: To what extent are futures hedges able to remove or reduce increased price risk around report release dates? This paper addresses this question by simulating daily futures returns, daily cash returns and daily hedged returns around report release dates for two storable commodities (corn and soybeans) in two market settings (North Central Illinois and Memphis Tennessee). Various risk measures, including “Value at Risk,” are used to determine hedging effectiveness, and “Analysis of Variance” is used to uncover the underlying factors that contribute to...
Tipo: Conference Paper or Presentation Palavras-chave: Agribusiness; Research Methods/ Statistical Methods.
Ano: 2008 URL: http://purl.umn.edu/6818
Registros recuperados: 3
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