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dc.contributor.authorKee, Gary D.en
dc.date.accessioned2011-08-06T16:02:39Zen
dc.date.available2011-08-06T16:02:39Zen
dc.date.issued2004-05-10en
dc.identifier.otheretd-05022000-16580018en
dc.identifier.urihttp://hdl.handle.net/10919/10026en
dc.description.abstractThis thesis is a long-term evaluation of the profit margin hedging strategy suggested by Kenyon and Clay. To implement this strategy an expected profit margin is estimated based on the amount of pork, corn price, and soybean meal price. The profit margin that can be 'locked in' by the futures market is calculated from the futures prices of live hogs, corn and soybean meal with an allowance for other cost. The hedging rule is to hedge hogs, corn and soybean meal when a profit margin of fifty percent above the expected profit margin can be 'locked-in' with the futures. In their original paper, using data from 1975-82, Kenyon and Clay found this method of hedging stabilized cash flow while increasing the overall profit level. Using out-of-sample data from 1983-98, the current research finds no difference in profits from hedging versus not hedging. The most obvious reason for the lack of success is the inability to predict the expected profit margin with the simple supply model used by Kenyon and Clay. Addition of demand shifting variables to the model failed to significantly improve the prediction of expected profit margin or the hedging results. The hedging strategy was also affected by a significant decrease in the variance in the futures market that lead to a decrease in hedging opportunities. With the failure of the Kenyon and Clay hedging strategy with out-of-sample data, this research empirically demonstrates the need for out-of-sample testing of selective hedging strategies.en
dc.format.mediumETDen
dc.publisherVirginia Techen
dc.relation.haspartKeePMH.pdfen
dc.rightsIn Copyrighten
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/en
dc.subjectFuturesen
dc.subjectHogsen
dc.subjectHedgingen
dc.titleHog Profit Margin Hedging: A Long-term Out-of-sample Evaluationen
dc.typeThesisen
dc.contributor.departmentAgricultural and Applied Economicsen
dc.description.degreeMaster of Scienceen
thesis.degree.nameMaster of Scienceen
thesis.degree.levelmastersen
thesis.degree.grantorVirginia Polytechnic Institute and State Universityen
thesis.degree.disciplineAgricultural and Applied Economicsen
dc.contributor.committeechairKenyon, David E.en
dc.contributor.committeememberTaylor, Daniel B.en
dc.contributor.committeememberPurcell, Wayne D.en
dc.identifier.sourceurlhttp://scholar.lib.vt.edu/theses/available/etd-05022000-16580018en
dc.date.sdate2000-05-02en
dc.date.rdate2001-05-08en
dc.date.adate2000-05-08en


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