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An Empirical Analysis Of Integrated Cattle Feeding Hedging Strategies Using Estimated Options On Commodity Futures Contracts
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Book Synopsis An Empirical Analysis of Integrated Cattle Feeding Hedging Strategies Using Estimated Options on Commodity Futures Contracts by : John Mac LaBore
Download or read book An Empirical Analysis of Integrated Cattle Feeding Hedging Strategies Using Estimated Options on Commodity Futures Contracts written by John Mac LaBore and published by . This book was released on 1987 with total page 392 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Dissertation Abstracts International by :
Download or read book Dissertation Abstracts International written by and published by . This book was released on 1988 with total page 946 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Using Cash, Futures, and Options Contracts in the Farm Business by : Richard G. Heifner
Download or read book Using Cash, Futures, and Options Contracts in the Farm Business written by Richard G. Heifner and published by . This book was released on 1993 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Hedging with Commodity Futures by : Su Dai
Download or read book Hedging with Commodity Futures written by Su Dai and published by GRIN Verlag. This book was released on 2013-11-12 with total page 80 pages. Available in PDF, EPUB and Kindle. Book excerpt: Master's Thesis from the year 2013 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,7, University of Mannheim, language: English, abstract: The commodity futures contract is an agreement to deliver a specific amount of commodity at a future time . There are usually choices of deliverable grades, delivery locations and delivery dates. Hedging belongs to one of the fundamental functions of futures market. Futures can be used to help producers and buyers protect themselves from price risk arising from many factors. For instance, in crude oil commodities, price risk occurs due to disrupted oil supply as a consequence of political issues, increasing of demand in emerging markets, turnaround in energy policy from the fossil fuel to the solar and efficient energy, etc. By hedging with futures, producers and users can set the prices they will receive or pay within a fixed range. A hedger takes a short position if he/she sells futures contracts while owning the underlying commodity to be delivered; a long position if he/she purchases futures contracts. The commonly known basis is defined as the difference between the futures and spot prices, which is mostly time-varying and mean-reverting. Due to such basis risk, a naïve hedging (equal and opposite) is unlikely to be effective. With the popularity of commodity futures, how to determine and implement the optimal hedging strategy has become an important issue in the field of risk management. Hedging strategies have been intensively studied since the 1960s. One of the most popular approaches to hedging is to quantify risk as variance, known as minimum-variance (MV) hedging. This hedging strategy is based on Markowitz portfolio theory, resting on the result that “a weighted portfolio of two assets will have a variance lower than the weighted average variance of the two individual assets, as long as the two assets are not perfectly and positively correlated.” MV strategy is quite well accepted, however, it ignores the expected return of the hedged portfolio and the risk preference of investors. Other hedging models with different objective functions have been studied intensively in hedging literature. Due to the conceptual simplicity, the value at risk (VaR) and conditional value at risk (C)VaR have been adopted as the hedging risk objective function. [...]
Book Synopsis Optimal Hedging Strategies for the U.S. Cattle Feeder by : Mikhail Anatolyevich Noussinov
Download or read book Optimal Hedging Strategies for the U.S. Cattle Feeder written by Mikhail Anatolyevich Noussinov and published by . This book was released on 1998 with total page 162 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Optimal Hedging with Agricultural Options in a Portfolio Context by : Elias Takor Ayuk
Download or read book Optimal Hedging with Agricultural Options in a Portfolio Context written by Elias Takor Ayuk and published by . This book was released on 1989 with total page 288 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis American Doctoral Dissertations by :
Download or read book American Doctoral Dissertations written by and published by . This book was released on 2002 with total page 776 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis An Econometric Model of Pacific Northwest Feeder Cattle Basis by : Cynthia Ann Vanderpool
Download or read book An Econometric Model of Pacific Northwest Feeder Cattle Basis written by Cynthia Ann Vanderpool and published by . This book was released on 1981 with total page 200 pages. Available in PDF, EPUB and Kindle. Book excerpt: Fluctuating feeder cattle prices have a direct affect on the revenue variability of feeder cattle producers. Hedging in the commodity futures market is a marketing strategy which can, if properly used, reduce the financial risk of feeder cattle producers. If the closing basis value is known when a hedge is placed, a price can be established for the feeder cattle in advance. This fact prompted research in determining the factors which affect nearby feeder cattle basis in the Pacific Northwest. This research is an attempt to identify factors which influence the feeder cattle basis through their influence on the prices which compose the basis -i.e., the cash and futures prices. The feeder cattle cash price has been established as a function of the factors affecting the profit of feedlot operations. Controversy exists on the factors which influence the futures price of livestock products; however, the use of technical indicators is well established in the literature. For the purposes of this research feeder cattle basis is developed as a function of the profit factors and a lag-trend indicator along with dummy variables which influence feeder cattle futures contracts over time. The profit factors include expected slaughter price, corn price, and interest rate values. These profit factors are expected to influence the cash price of feeder cattle. The lag-trend indicator is a calculated trend of the basis over the past two time periods and is expected to represent the analysis made by traders in both the futures and cash markets of past events or prices. This analysis by traders in the futures market will be similar to their use of technical indicators. In specifying the model, two methods of analyzing the expected affects of the profit factors on the basis are acknowledged. In this research, the profit factors are assumed to influence only the cash price. Therefore, the effect of the factors on basis is hypothesized by making assumptions about the price movement of the feeder cattle futures price. The analyses produce various hypotheses about the expected effects of the profit factors on basis. The empirical results produce evidence that the estimated equations explain a good proportion of the Pacific Northwest basis of feeder cattle for light and heavy weight categories. After a close analysis of the profit factors, corn price is concluded to have a positive influence on 500-600 pound feeder cattle basis and a negative influence on 700-800 pound feeder cattle basis. However, due to the inability of the methods to hypothesize the effect of slaughter price on basis and/or to hypothesize, with consistency, the correct signs of the estimated interest rate coefficient, conclusions are not made about their influences on the basis. Feeder cattle producers can apply the information produced in this research in making hedging decisions. However, a thorough knowledge and analysis of hedging theory and market conditions should be undertaken first. Since a predicted closing basis is needed by feeder cattle producers to establish a "locked-in" cash price, further research in developing a forecasting model of feeder cattle basis is warranted.
Book Synopsis An Evaluation of Strategies for Hedging Feeder Cattle in the Pacific Northwest by : Andrew Leo Gatti
Download or read book An Evaluation of Strategies for Hedging Feeder Cattle in the Pacific Northwest written by Andrew Leo Gatti and published by . This book was released on 1984 with total page 248 pages. Available in PDF, EPUB and Kindle. Book excerpt: Over the past decade, feeder cattle backgrounders in the Pacific Northwest have been subject to sharp price fluctuations for their output. The result has been variable profits and losses. This situation creates a need for management and marketing techniques which can provide Pacific Northwest cattle ranchers with protection against price risks while enhancing the profitability of their operations. Recent economic literature has shown hedging with futures contracts to be an effective tool for mitigating risk and/or increasing the net revenues of cattle producers in a number of regions of the United States. The objective of this research was to determine whether hedging with futures contracts could have increased the profitability of Pacific Northwest feeder cattle production while decreasing the effects of price volatiliy. To realize this objective, the economic performance of alternative hedging strategies were evaluated for several methods of feeder cattle backgrounding indigenous to the Pacific Northwest region. Four hedging strategies - routine, moving average, profit objective, and triangular probability distribution - were evaluated for hedging the output of four simulated production systems. The mean and standard deviation of annual net returns were computed for each hedging strategy to serve as measures of profitability and risk, respectively. The results of not hedging were also obtained to provide a basis for comparing alternative hedging programs. Sample t and F tests were conducted to determine whether there were statistically significant differences between the means and standard deviations of the unhedged and hedged positions. Dominant hedging strategies were then identified for each production system. Based on the results of the mean-variance analysis, it appears that the use of selective futures market hedging strategies would have provided greater and more stable levels of profit compared to the net incomes obtained without hedging. Sample t and F tests, using 80 and 90 percent levels of significance respectively, showed that hedging could have significantly decreased the variability of the producer's flow of income without significantly changing the operation's average profitability. Moving average, profit objective, and triangular probability distribution strategies were dominant, increased average profitability, and significantly lowered risk for at least one production system each. Overall, moving average strategies generated the highest mean profits with the greatest risk. Profit objective strategies generally resulted in lower mean profit than moving average strategies but with less risk. The risks and returns from hedging with triangular probability distribution strategies were usually between the moving average and profit objective procedures. Strategies which performed well in this study should also perform well in the future if conditions in the feeder cattle markets do not vary substantially from those of the previous decade. Thus, hedging with futures market contracts may provide the Pacific Northwest feeder cattle producers with protection against price risk and enhanced profitability.
Book Synopsis Index to American Doctoral Dissertations by :
Download or read book Index to American Doctoral Dissertations written by and published by . This book was released on 1989 with total page 1252 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis An Evaluation of Hedging Strategies for Backgrounding Feeder Cattle in Tennessee by : Cregg Dale Miyat
Download or read book An Evaluation of Hedging Strategies for Backgrounding Feeder Cattle in Tennessee written by Cregg Dale Miyat and published by . This book was released on 1982 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Actual and Potential Use of the Livestock Futures Market by Illinois Producers by : Raymond M. Leuthold
Download or read book Actual and Potential Use of the Livestock Futures Market by Illinois Producers written by Raymond M. Leuthold and published by . This book was released on 1975 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Hedging Effectiveness of Constant and Time-varying Hedge Ratios Using Futures Contracts by : Di Ai
Download or read book Hedging Effectiveness of Constant and Time-varying Hedge Ratios Using Futures Contracts written by Di Ai and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Currency Hedging with Commodity Futures by : Nikola Gozze
Download or read book Currency Hedging with Commodity Futures written by Nikola Gozze and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis analyses the applicability of commodity futures in currency hedging, firstly assessing whether commodity futures represent valid hedging instruments and, secondly, evaluating their performance in comparison to common hedging strategies based on foreign exchange options and exchange rate futures. With this approach, it contributes to the existing research by carrying out an actual performance simulation of commodity future based currency hedging, including a comparative evaluation of multiple strategies and an unmatched coverage of multiple exchange rates and commodities. For commodity futures to result in effective currency hedging, an in-depth analysis of the relationship between commodity futures prices and spot exchange rates has been carried out with the aim to detect a statistically significant correlation between the former and the latter. Covering sixteen exchange rates and eight commodity futures contracts with data reaching from the beginning of the 1990s up to mid-2015, it was possible to identify at least one commodity futures price per assessed exchange rate that was statistically significantly correlated with returns of the latter, thus enabling an investor to perform potentially effective currency hedging with commodity futures for said exchange rates. Using the carry trade as anchor investment strategy, historical monthly investment performances for several currency hedging strategies were simulated for the period between January 2010 and May 2015, finding that a carry trade hedged with commodity futures resulted in higher returns, lower volatility reduction but ultimately superior Sharpe-Ratios relative to carry trades hedged with exchange rate futures or foreign exchange options, although the superiority of Sharpe-Ratios could not be proven to exhibit statistical significance. In conclusion, currency hedging with commodity futures enables an investor to generate higher Sharpe-Ratios in comparison to.
Book Synopsis Futures Trading in Livestock by : Henry Harrison Bakken
Download or read book Futures Trading in Livestock written by Henry Harrison Bakken and published by . This book was released on 1970 with total page 270 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis An Analysis of Hedging Effectiveness in Live Beef Cattle Futures Among Ten Major Cattle Feeding Regions by : Keith Holaday Lacy
Download or read book An Analysis of Hedging Effectiveness in Live Beef Cattle Futures Among Ten Major Cattle Feeding Regions written by Keith Holaday Lacy and published by . This book was released on 1972 with total page 230 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Commodity Insurance by : David Y. Tan
Download or read book Commodity Insurance written by David Y. Tan and published by . This book was released on 1988 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt:
