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Risk and returns of commodity hedges around USDA reports.

Record Type:	Language materials, manuscript : Monograph/item
Title/Author:	Risk and returns of commodity hedges around USDA reports./
Author:	Nikolic, Aleksandar.
Description:	1 online resource (90 pages)
Notes:	Source: Masters Abstracts International, Volume: 69-02.
Contained By:	Masters Abstracts International69-02.
Subject:	Effectiveness. -
Online resource:	click for full text (PQDT)
ISBN:	9781109827460

Risk and returns of commodity hedges around USDA reports.
Nikolic, Aleksandar.

Risk and returns of commodity hedges around USDA reports. - 1 online resource (90 pages)

Source: Masters Abstracts International, Volume: 69-02.

Thesis (M.S.)--University of Arkansas, 2006.

Includes bibliographical references

The main objective of this study was to determine if hedging effectiveness is reduced around USDA Crop Production reports due to a structural change in the relationship between cash and futures prices. In order to examine this issue, historical cash and futures prices were used to calculate the percentage returns for corn and soybeans. The returns were then simulated in Simetar© using normal and empirical probability distributions. Finally, the simulated returns were measured with Value at Risk in order to capture the difference in the risk reduction effectiveness of three different marketing strategies: cash only, speculative short futures and standard naive hedge positions. In general results suggest that hedging is reasonably effective at reducing price risk around reports. Basis risk does not increase significantly and naive hedging, as a standard risk management tool, is an effective risk reducing strategy around the release dates of USDA crop reports.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2024

Mode of access: World Wide Web

ISBN: 9781109827460Subjects--Topical Terms:

1468436
Effectiveness.
Index Terms--Genre/Form:

554714
Electronic books.

Risk and returns of commodity hedges around USDA reports.
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245 1 0 $a Risk and returns of commodity hedges around USDA reports.
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300 $a 1 online resource (90 pages)
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500 $a Source: Masters Abstracts International, Volume: 69-02.
500 $a Publisher info.: Dissertation/Thesis.
500 $a Advisor: McKenzie, Andrew.
502 $a Thesis (M.S.)--University of Arkansas, 2006.
504 $a Includes bibliographical references
520 $a The main objective of this study was to determine if hedging effectiveness is reduced around USDA Crop Production reports due to a structural change in the relationship between cash and futures prices. In order to examine this issue, historical cash and futures prices were used to calculate the percentage returns for corn and soybeans. The returns were then simulated in Simetar© using normal and empirical probability distributions. Finally, the simulated returns were measured with Value at Risk in order to capture the difference in the risk reduction effectiveness of three different marketing strategies: cash only, speculative short futures and standard naive hedge positions. In general results suggest that hedging is reasonably effective at reducing price risk around reports. Basis risk does not increase significantly and naive hedging, as a standard risk management tool, is an effective risk reducing strategy around the release dates of USDA crop reports.
533 $a Electronic reproduction. $b Ann Arbor, Mich. : $c ProQuest, $d 2024
538 $a Mode of access: World Wide Web
650 4 $a Effectiveness. $3 1468436
650 4 $a Agricultural production. $3 1372530
650 4 $a Government agencies. $3 1467012
650 4 $a Prices. $3 580802
650 4 $a Risk. $3 564866
650 4 $a Studies. $3 1437762
650 4 $a Release dates. $3 1477618
650 4 $a Standard deviation. $3 1477345
650 4 $a Feeds. $3 590532
650 4 $a Regression analysis. $3 569541
650 4 $a Estimates. $3 1372494
650 4 $a Pork. $3 1477619
650 4 $a Hogs. $3 1473527
650 4 $a Soybeans. $3 1465438
650 4 $a Cattle. $3 677646
650 4 $a Efficiency. $3 1086052
650 4 $a Agricultural commodities. $3 1413561
650 4 $a Hypotheses. $3 1372657
650 4 $a Copyright. $3 561990
650 4 $a Information sources. $3 1214928
655 7 $a Electronic books. $2 local $3 554714
690 $a 0503
710 2 $a ProQuest Information and Learning Co. $3 1178819
710 2 $a University of Arkansas. $3 845554
773 0 $t Masters Abstracts International $g 69-02.
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=1444199 $z click for full text (PQDT)