VIABILIDADE DE ESTRATÉGIAS DE HEDGECOM CONTRATOS FUTUROS DE BOI GORDO NO BRASIL
The objective of this paper was to evaluate the usage of hedging strategies by means of live cattle futures contracts traded at Brazilian Futures Exchange (BM&F). There were studied 9 Brazilian states, covering all geographic regions of the country. It was verified that, with the exception of th...
| Autores: | , |
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| Tipo de recurso: | artículo |
| Estado: | Versión publicada |
| Fecha de publicación: | 2009 |
| País: | Brasil |
| Institución: | Universidade Federal do Rio Grande do Sul (UFRGS) |
| Repositorio: | Análise Econômica (Online) |
| Idioma: | portugués |
| OAI Identifier: | oai:seer.ufrgs.br:article/10852 |
| Acceso en línea: | https://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/10852 |
| Access Level: | acceso abierto |
| Palabra clave: | Gestão de risco. Mercado futuro. Contrato de boi gordo. JEL Classification Q13 Q14 Risk management. Futures market. Live cattle contract. |
| Sumario: | The objective of this paper was to evaluate the usage of hedging strategies by means of live cattle futures contracts traded at Brazilian Futures Exchange (BM&F). There were studied 9 Brazilian states, covering all geographic regions of the country. It was verified that, with the exception of the state of Rio Grande do Sul, short hedging tend to provide returns from two to three times larger than long hedging strategies. In the state of Rio Grande do Sul, both types of hedging strategies provide similar levels of return. So, it is possible to conclude that hedging strategies by means of the natures contracts traded at BM&F are viable, especially in the case of short hedging, while long hedging is more viable in the state of Rio Grande do Sul. The results also show that the first five months of the year are more adequate for long hedging, especially if futures contracts for delivery around the middle of the year are used. Short hedging operations are more adequate if carried out after June, using contracts for delivery either in the end of the year or in the beginning of the following year. Despite common patterns have been identified among the several states, state-level peculiarities force hedgers to use state-level information, as provided in the tables built up in the paper, to make safe decisions. |
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