The impact of deviations from soybean product crushing estimates on return and risk

Hussein Abdoh, Michael Chitavi

Research output: Contribution to journalArticlepeer-review

Abstract

This study explores how differences in market yields of soymeal and soyoil, as derived from market prices compared to those obtained through the physical process of crushing soybeans, impact the returns and volatilities of these commodities. Positive (negative) deviations are associated with negative (positive) changes in return. Additionally, these deviations positively correlate with return volatility, suggesting that variations from the expected yields lead to price shifts and heightened return volatility. In summary, deviations from the crushing estimates significantly shape the modeling of soybean commodity returns and volatilities, with implications for understanding returns, hedging ratios, and portfolio return variance.

Original languageEnglish
JournalAgricultural Economics (United Kingdom)
DOIs
Publication statusAccepted/In press - 2024

Keywords

  • deviations from crushing estimates
  • hedging
  • returns
  • soybean
  • soymeal
  • soyoil
  • US Department of Agriculture (USDA)
  • volatility

ASJC Scopus subject areas

  • Agronomy and Crop Science
  • Economics and Econometrics

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