Hog Options: Contract Redesign and Market Efficiency
| Autor: | Scott H. Irwin, Hernan Alejandro Urcola |
|---|---|
| Rok vydání: | 2010 |
| Předmět: |
Transaction cost
Finance Economics and Econometrics business.industry 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 Economics Market efficiency business Excess return Agricultural and Biological Sciences (miscellaneous) Agribusiness Market conditions |
| Popis: | 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. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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