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Hog Options: Contract Redesign and Market Efficiency

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Author Info

  • Urcola, Hernan A.
  • Irwin, Scott H.

Abstract

This article tests the efficiency of the hog options market and assesses the impact of the 1996 contract redesign on efficiency. We find that the hog options market is efficient, but some options yielded excess returns during the live hogs period but not during the lean hogs period. Our findings indicate that the hog options market is efficient and is consistent with the new contract improving the efficiency of the market. However, other market conditions such as lower transaction costs during the lean hogs period can also contribute to reduce expected option returns during the latter period.

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File URL: http://purl.umn.edu/100518
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Bibliographic Info

Article provided by Southern Agricultural Economics Association in its journal Journal of Agricultural and Applied Economics.

Volume (Year): 42 (2010)
Issue (Month): 04 (November)
Pages:

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Handle: RePEc:ags:joaaec:100518

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Web page: http://www.saea.org/jaae/jaae.htm
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Related research

Keywords: hog options; mispricing perceptions; contract redesign; trading returns; Agribusiness; Agricultural Finance; Crop Production/Industries; Demand and Price Analysis; Farm Management; Financial Economics; Livestock Production/Industries; Marketing; Production Economics; Productivity Analysis; Public Economics; Research Methods/ Statistical Methods; C15; G12; G14; Q13;

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