Toward a positive economic theory of hedging

American Journal of Agricultural Economics

Volumn 79, Issue 2, 1997, Pages 488-499

  Collins, Robert A ^a  

^a SANTA CLARA UNIVERSITY   (United States)

Author keywords

Futures; Hedging; Risk

Indexed keywords

EID: 0012115575     PISSN: 00029092     EISSN: None     Source Type: Journal    
DOI: 10.2307/1244146     Document Type: Article

References (27)

1. Berck, P. "Portfolio Theory and the Demand for Futures: The Case of California Cotton." Amer. J. Agr. Econ. 63(August 1981):466-74.
2. Bond, G.E., and S.R. Thompson. "Risk Aversion and the recommended Hedge Ratio." Amer. J. Agr. Econ. 67(November 1985):870-72.
3. Brorsen, B.W. "Optimal Hedge Ratios with Risk-Neutral Producers and Nonlinear Borrowing Costs." Amer. J. Agr. Econ. 77(February 1995):174-81.
4. Collins, R.A. "Expected Utility, Debt-Equity Structure and Risk Balancing." Amer. J. Agr. Econ. 67(August 1985):627-29.
5. Feder, G., R.E. Just, and A. Schmitz. "Futures Markets and the Theory of the Firm Under Price Uncertainty." Quart. J. Econ. 94(March 1980):317-28.
6. Gaspar, V., C. Gatete, and J. Vercammen "Optimal Hedging Under Alternative Capital Structures and Risk Aversion: Comment." Can. J. Agr. Econ. 40(June 1992):499-502.
7. Grant, D. "Optimal Futures Positions for Corn and Soybean Growers Facing Price and Yield Risk." Washington DC: U.S. Department of Agriculture. ERS Technical Bulletin No. 1751, March 1989.
8. Hartzmark, M.L. "Returns to Individual Traders of Futures: Aggregate Results." J. Polit. Econ 95(March 1987):345-62.
9. Hogg, R.V., and A.T. Craig. Introduction to Mathematical Statistics. New York: MacMillan, 1978.
10. Houthakker, H. "Normal Backwardation." Value. Capital and Growth. J.N. Wolfe, ed., pp. 193-214. Edinburgh, Scotland: Aldine Publishing Co., 1968.
11. Johnson, L.L. "The Theory of Hedging and Speculation in Commodity Futures Markets." Rev. Econ. Stud. 27(October 1960):139-51.
12. Lence, S.H., and D.J. Hayes. "The Empirical Minimum-Variance Hedge." Amer. J. Agr. Econ. 76(February 1994):94-104.
13. Mathews, K.H., and D.M. Holthausen, Jr. "A Simple Minimum Risk Hedge Model." Amer. J. Agr. Econ. 73(November 1991):1020-26.
14. Peck, A.E., and A.M. Nahmias. "Hedging Your Advice: Do Portfolio Models Explain Hedging?" Food Res. Inst. Stud. 21(1989):193-203.
15. Rolfo, J. "Optimal Hedging Under Price and Quantity Uncertainty: The Case of a Cocoa Producer." J. Polit. Econ. 88(February 1980):100-16.
16. Roy, A.D. "Safety First and the Holding of Assets." Econometrica 20(July 1952):431-49.
17. Rutledge, D. "Hedger's Demand for Futures Contracts: A Theoretical Framework with Applications to the United States Soybean Complex." Food Res. Inst. Stud. 11(March 1972):237-56.
18. Sapp, S.G. "Producer's Opinions of the Iowa Cattle Industry." The Iowa Cattle Industry: Vision for the Future. Ames IA: Iowa State University, 1992.
19. Shapiro, B.I., and B.W. Brorsen. "Factors Influencing Farmers' Decisions of Whether or Not to Hedge." N. C. J. Agr. Econ. 10(July 1988):145-53.
20. Stein, J.L. "The Simultaneous Determination of Spot and Futures Prices." Amer. Econ. Rev. 51(December 1961):1012-25.
21. Telser, L.G. "Safety First and Hedging." Rev. Econ. Stud. 23(Spring1955):1-16.
22. Turvey, C. "The Relationship Between Hedging With Futures and the Financing Function of Farm Management." Can. J. Agr. Econ. 37(December 1989):629-38.
23. Turvey, C., and T. Baker. "A Farm-Level Financial Analysis of Farmers' Use of Futures and Options under Alternative Farm Programs." Amer. J. Agr. Econ. 72(November 1990):946-57.
24. _. "Optimal Hedging under Alternative Capital Structures and Risk Aversion." Can. J. Agr. Econ. 37(May 1989):135-43.
25. U.S. Department of Agriculture, Economic Research Service. Economic Indicators of the Farm Sector: National Financial Summary 1992. ECIFS 12-1, Washington DC, January 1994.
26. Working, H. "Futures Trading and Hedging." Amer. Econ. Rev. 43(June 1953a):314-43.
27. _. "Hedging Reconsidered." J. Farm Econ. 35(July 1953b)544-61.