IDEAS home Printed from https://ideas.repec.org/p/ags/uiucrr/14778.html
   My bibliography  Save this paper

Do Agricultural Market Advisory Services Beat The Market? Evidence From The Wheat Market Over 1995-1998

Author

Listed:
  • Jirik, Mark A.
  • Irwin, Scott H.
  • Good, Darrel L.
  • Martines-Filho, Joao Gomes
  • Jackson, Thomas E.

Abstract

The purpose of this report is to address two basic performance questions for market advisory services in wheat: 1) Do market advisory services, on average, outperform an appropriate market benchmark? and 2) Do market advisory services exhibit persistence in their performance from year-to-year? Data on wheat net price received for advisory services, as reported by the AgMAS Project, are available for the 1995, 1996, 1997 and 1998 crop years. Not only do market advisory programs in wheat consistently fail to "beat the market," their performance is significantly worse than the market. On average, market advisory service performance is about $14 per acre below benchmark revenue, an economically non-trivial amount by any reasonable standard. The predictability results provide little evidence that future advisory service pricing performance can be predicted from past performance.

Suggested Citation

  • Jirik, Mark A. & Irwin, Scott H. & Good, Darrel L. & Martines-Filho, Joao Gomes & Jackson, Thomas E., 2001. "Do Agricultural Market Advisory Services Beat The Market? Evidence From The Wheat Market Over 1995-1998," AgMAS Project Research Reports 14778, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.
    • Handle: RePEc:ags:uiucrr:14778
    DOI: 10.22004/ag.econ.14778
    as

    Download full text from publisher

    File URL: https://ageconsearch.umn.edu/record/14778/files/agm0101.pdf
    Download Restriction: no
    File URL: https://libkey.io/10.22004/ag.econ.14778?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Josef Lakonishok & Andrei Shleifer & Robert W. Vishny, 1992. "The Structure and Performance of the Money Management Industry," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 23(1992 Micr), pages 339-391.
    2. B. Wade Brorsen & Darren W. Buck & Stephen R. Koontz, 1998. "Hedging hard red winter wheat: Kansas City versus Chicago," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 18(4), pages 449-466, June.
    3. Carl R. Zulauf & Scott H. Irwin, 1998. "Market Efficiency and Marketing to Enhance Income of Crop Producers," Review of Agricultural Economics, Agricultural and Applied Economics Association, vol. 20(2), pages 308-331.
    4. Grossman, Sanford J & Stiglitz, Joseph E, 1980. "On the Impossibility of Informationally Efficient Markets," American Economic Review, American Economic Association, vol. 70(3), pages 393-408, June.
    5. Andrew Metrick, 1999. "Performance Evaluation with Transactions Data: The Stock Selection of Investment Newsletters," Journal of Finance, American Finance Association, vol. 54(5), pages 1743-1775, October.
    6. Robert P. King & Larry S. Lev & Ward E. Nefstead, 1995. "A Position Report for Farm-Level Marketing Management," Review of Agricultural Economics, Agricultural and Applied Economics Association, vol. 17(2), pages 205-212.
    7. Robert N. Wisner & E. Neal Blue & E. Dean Baldwin, 1998. "Preharvest Marketing Strategies Increase Net Returns for Corn and Soybean Growers," Review of Agricultural Economics, Agricultural and Applied Economics Association, vol. 20(2), pages 288-307.
    8. Elton, Edwin J & Gruber, Martin J & Rentzler, Joel C, 1987. "Professionally Managed, Publicly Traded Commodity Funds," The Journal of Business, University of Chicago Press, vol. 60(2), pages 175-199, April.
    9. Schroeder, Ted C. & Parcell, Joseph L. & Kastens, Terry L. & Dhuyvetter, Kevin C., 1998. "Perceptions Of Marketing Strategies: Producers Versus Extension Economists," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 23(1), pages 1-15, July.
    10. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
    11. George F. Patrick & Stanton Ullerich, 1996. "Information sources and risk attitudes of large-scale farmers, farm managers, and agricultural bankers," Agribusiness, John Wiley & Sons, Ltd., vol. 12(5), pages 461-471.
    12. Ritter, Jay R, 1991. "The Long-run Performance of Initial Public Offerings," Journal of Finance, American Finance Association, vol. 46(1), pages 3-27, March.
    13. Kastens, Terry L. & Schroeder, Ted C., 1996. "Efficiency Tests Of July Kansas City Wheat Futures," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 21(2), pages 1-12, December.
    14. Carpenter, Jennifer N. & Lynch, Anthony W., 1999. "Survivorship bias and attrition effects in measures of performance persistence," Journal of Financial Economics, Elsevier, vol. 54(3), pages 337-374, December.
    15. Stewart L. Brown, 1985. "A Reformulation of the Portfolio Model of Hedging," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 67(3), pages 508-512.
    16. Good, Darrel L. & Irwin, Scott H. & Jackson, Thomas E., 1998. "Development Of A Market Benchmark Price For Agmas Performance Evaluations," AgMAS Project Research Reports 14783, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Brorsen, B. Wade & Anderson, Kim B., 2002. "Actual Farmer Market Timing," 2002 Conference, April 22-23, 2002, St. Louis, Missouri 19065, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    2. Batts, Ryan M. & Irwin, Scott & Good, Darrel, 2009. "The Pricing Performance of Market Advisory Services in Wheat Over 1995-2004," AgMAS Project Research Reports 183426, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Irwin, Scott H. & Good, Darrel L. & Martines-Filho, Joao Gomes & Jackson, Thomas E., 2000. "Do Agricultural Market Advisory Services Beat The Market? Evidence From The Corn And Soybean Markets Over 1995-1998," AgMAS Project Research Reports 14786, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.
    2. Good, Darrel L. & Irwin, Scott H. & Martines-Filho, Joao Gomes & Hagedorn, Lewis A., 2005. "The Pricing Performance of Market Advisory Services in Corn and Soybeans over 1995-2003," AgMAS Project Research Reports 14775, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.
    3. Irwin, Scott H. & Jackson, Thomas E. & Good, Darrel L., 1999. "Do Agricultural Market Advisory Services Beat The Market? Evidence From The Corn And Soybean Markets Over 1995-1997," AgMAS Project Research Reports 14789, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.
    4. Irwin, Scott H. & Martines-Filho, Joao Gomes & Good, Darrel L., 2003. "The Pricing Performance Of Market Advisory Services In Corn And Soybeans Over 1995-2001," AgMAS Project Research Reports 14773, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.
    5. Jirik, Mark A. & Irwin, Scott H. & Good, Darrel L. & Jackson, Thomas E. & Martines-Filho, Joao Gomes, 2000. "The Performance Of Agricultural Market Advisory Services In Marketing Wheat," 2000 Conference, April 17-18 2000, Chicago, Illinois 18928, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    6. Good, Darrel L. & Martines-Filho, Joao Gomes & Irwin, Scott H., 2002. "The Pricing Performance Of Market Advisory Services In Corn And Soybeans Over 1995-2000," AgMAS Project Research Reports 14784, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.
    7. Joao Martines-Filho, 2006. "The Performance of Agricultural Market Advisory Services in Corn and Soybeans," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 88(1), pages 162-181.
    8. Batts, Ryan M. & Irwin, Scott & Good, Darrel, 2009. "The Pricing Performance of Market Advisory Services in Wheat Over 1995-2004," AgMAS Project Research Reports 183426, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.
    9. Irwin, Scott H. & Good, Darrel L. & Jackson, Thomas E., 2000. "The Private Sector Approach To Grain Marketing: The Case Of Agricultural Market Advisory Services," 2000 Producer Marketing and Risk Management Conference, January 13-14, Orlando, FL 19579, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    10. Irwin, Scott H. & Good, Darrel L. & Martines-Filho, Joao Gomes & Batts, Ryan M., 2006. "The Pricing Performance of Market Advisory Services in Corn and Soybeans Over 1995-2004," AgMAS Project Research Reports 37513, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.
    11. Getmansky, Mila & Lo, Andrew W. & Makarov, Igor, 2004. "An econometric model of serial correlation and illiquidity in hedge fund returns," Journal of Financial Economics, Elsevier, vol. 74(3), pages 529-609, December.
    12. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, June.
    13. Roberto Casarin & Andrea Piva & Loriana Pelizzon, 2008. "Italian Equity Funds: Efficiency and Performance Persistence," The IUP Journal of Financial Economics, IUP Publications, vol. 0(1), pages 7-28, March.
    14. Terrance Odean., 1996. "Volume, Volatility, Price and Profit When All Trader Are Above Average," Research Program in Finance Working Papers RPF-266, University of California at Berkeley.
    15. Coble, Keith H. & Barnett, Barry J., 1999. "The Role Of Research In Producer Risk Management," Professional Papers 15803, Mississippi State University, Department of Agricultural Economics.
    16. Silvina M. Cabrini & Brian G. Stark & Hayri Önal & Scott H. Irwin & Darrel L. Good & João Martines-Filho, 2004. "Efficiency Analysis of Agricultural Market Advisory Services: A Nonlinear Mixed-Integer Programming Approach," Manufacturing & Service Operations Management, INFORMS, vol. 6(3), pages 237-252, December.
    17. Klumpp, Joni M. & Brorsen, B. Wade & Anderson, Kim B., 2005. "The Impact of Marketing Strategy Information on the Producer's Selling Decision," 2005 Conference, April 18-19, 2005, St. Louis, Missouri 19036, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    18. Terrance Odean, 1999. "Do Investors Trade Too Much?," American Economic Review, American Economic Association, vol. 89(5), pages 1279-1298, December.
    19. Menkhoff, Lukas, 2010. "The use of technical analysis by fund managers: International evidence," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2573-2586, November.
    20. Nivens, Heather D. & Kastens, Terry L. & Dhuyvetter, Kevin C., 2002. "Payoffs to Farm Management: How Important is Crop Marketing?," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 34(1), pages 193-204, April.

    More about this item

    Keywords

    Marketing;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ags:uiucrr:14778. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: AgEcon Search (email available below). General contact details of provider: https://edirc.repec.org/data/dauiuus.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.