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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.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Risk and returns of commodity hedges around USDA reports./
作者:	Nikolic, Aleksandar.
出版者:	Ann Arbor : ProQuest Dissertations & Theses, : 2006,
面頁冊數:	90 p.
附註:	Source: Masters Abstracts International, Volume: 69-02.
Contained By:	Masters Abstracts International69-02.
標題:	Effectiveness. -
電子資源:	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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