Hedging Effectiveness around USDA Crop Reports
AbstractIt is well documented that “unanticipated” information contained in USDA crop reports induces large price reactions in corn and soybean markets. Thus, a natural question that arises from this literature is: To what extent are futures hedges able to remove or reduce increased price risk around report release dates? This paper addresses this question by simulating daily futures returns, daily cash returns and daily hedged returns around report release dates for two storable commodities (corn and soybeans) in two market settings (North Central Illinois and Memphis Tennessee). Various risk measures, including “Value at Risk,” are used to determine hedging effectiveness, and “Analysis of Variance” is used to uncover the underlying factors that contribute to hedging effectiveness.
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Bibliographic InfoPaper provided by Southern Agricultural Economics Association in its series 2008 Annual Meeting, February 2-6, 2008, Dallas, Texas with number 6818.
Date of creation: 2008
Date of revision:
Agribusiness; Research Methods/ Statistical Methods;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-12-14 (All new papers)
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