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Risk and returns of commodity hedges...

Nikolic, Aleksandar.

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Risk and returns of commodity hedges around USDA reports.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Risk and returns of commodity hedges around USDA reports./
Author:	Nikolic, Aleksandar.
Published:	Ann Arbor : ProQuest Dissertations & Theses, : 2006,
Description:	90 p.
Notes:	Source: Masters Abstracts International, Volume: 69-02.
Contained By:	Masters Abstracts International69-02.
Subject:	Effectiveness. -
Online resource:	https://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=1444199
ISBN:	9781109827460

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

Risk and returns of commodity hedges around USDA reports. - Ann Arbor : ProQuest Dissertations & Theses, 2006 - 90 p.

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

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

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.

ISBN: 9781109827460Subjects--Topical Terms:

3546567
Effectiveness.

Risk and returns of commodity hedges around USDA reports.
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300 $a 90 p.
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.
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.
590 $a School code: 0011.
650 4 $a Effectiveness. $3 3546567
650 4 $a Agricultural production. $3 3559355
650 4 $a Government agencies. $3 3562805
650 4 $a Prices. $3 652651
650 4 $a Risk. $3 561386
650 4 $a Studies. $3 3433795
650 4 $a Release dates. $3 3772961
650 4 $a Standard deviation. $3 3560390
650 4 $a Feeds. $3 659935
650 4 $a Regression analysis. $3 529831
650 4 $a Estimates. $3 3561047
650 4 $a Pork. $3 3772962
650 4 $a Hogs. $3 3554056
650 4 $a Soybeans. $3 790890
650 4 $a Cattle. $3 899336
650 4 $a Efficiency. $3 753744
650 4 $a Agricultural commodities. $3 3562094
650 4 $a Hypotheses. $3 3560118
650 4 $a Copyright. $3 601694
650 4 $a Information sources. $3 3560861
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710 2 $a University of Arkansas. $3 1017562
773 0 $t Masters Abstracts International $g 69-02.
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