La efectividad de cross hedging para el novillo uruguayo en el mercado de futuros del buey gordo brasileño: hipótesis de la expectativa y especulación sobre la base
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2014
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The present study aims to verify the effectiveness of cross hedging operations for the Uruguayan steer in the futures market for live cattle of the Brazilian Securities, Commodities and Futures Exchange (BM&FBovespa) in relation to risk and return. The tested hypothesis is that a position taken in the futures market of live cattle equal to a position taken in the cash market of Uruguayan steer cancels the price risk. This proposition derives from the classical approach in futures pricing, also known as the expectations hypothesis, which is based in the premise of absence risk premium that comes from market equilibrium theory, and therefore does not allow speculation with the difference between the spot and futures prices for part of the agents that act in the futures market. The hypothesis is tested by applying the full hedge strategy, which determines that the position taken in the futures market is always equal to the spot market. The results show that the futures market for Brazilian live cattle allows for speculation. Profit maximization was ascertained from the returns obtained with the exchange ratio of the uncertainties of prices in the spot market by the variance of the basis, related to cross hedging. The results showed that the average return of the portfolio protected reached approximately 2.60% with a prices risk mitigation of approximately 78%.