A wholesale beef futures contract has been suggested as a possible solution to recent problems in live cattle futures. However, it is uncertain whether the new futures contract will outperform the existing contract. In this research, I develop methods to derive a price series that is theoretically sound for a hypothetical futures contract. This allows for the evaluation of this hypothetical wholesale beef futures contract. I test these methods for validity using futures markets for hogs and find that they are similar in accuracy to a futures valuation model for existing futures. Then I derive a price series for this hypothetical wholesale beef futures contract and evaluate its effectiveness as a risk management tool.

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Over the last decade, U.S. crop prices have become significantly more volatile. Volatile markets pose increased risks for the agricultural market participants and create a need for reliable price forecasts. Research discussed in this paper aims to find different approaches to forecast crop cash prices based on the prices of related futures contracts. Corn, soybeans, soft red winter wheat, and cotton are the focus of this research. Since price data for these commodities is non-stationary, this paper used two approaches to solve this problem. The first approach is to forecast the difference in prices between current and future period and the second is to use the regimes. This paper considers the five-year moving average approach as the benchmark when comparing these approaches. This research evaluated model performance using R-squared, mean errors, root mean squared errors, the modified Diebold-Mariano test, and the encompassing test. The results show that both the difference model and the regime model render better performance than the benchmark in most cases, but without a significant difference between each other. Based on these findings, the regime model was used to make forecasts of the cash prices of corn and soybeans, the difference model was used to make predictions for cotton, and the benchmark was used to forecast the SRW cash price. / Master of Science / This research attempts to develop models to forecast cash prices of corn, soybeans, wheat and cotton using the underlying futures prices. Two alternative approaches are proposed. The difference model focuses on forecasting the differences between current and future time prices. The regime model uses external data to determine potential structural breaks in price relationships. The out-of-sample performance of these models is compared to the benchmark of a five-year average using various performance criteria. The results show that the regime model performs better for corn and soybeans, while the difference model is the best one for cotton. For wheat, the results are mixed, but the benchmark seems to show better performance than the proposed models.

Study project (MBA)--University of Stellenbosch, 2003. / ENGLISH ABSTRACT: In a rational efficiently functioning market, the price of the share index and share index futures contracts should be perfectly contemporaneously correlated. According to the cost of carry model, the futures price should equal its fair value at maturity. The basis should be equal to the cost of carry throughout the duration of the futures contract. However, in practice the cost of carry model is obscured and the basis varies and is normally not equal to the cost of carry. Reasons for this variability in basis include the mark-to-market requirement of the futures contract, the differential tax treatment of spot and futures contracts, as well as the transaction cost of entering into a contract. Transaction costs are lower for futures contracts than for spot contracts. This study uses the Chen, Cuny and Haugen (1995) model to examine the relationship between the basis and volatility of the underlying index and between the open interest of the futures contract and the volatility of the underlying index. Chen et al. (1995) predicted that the basis is negatively related to the volatility of the underlying index and that the open interest is positively related to the volatility of the underlying index. The study will also test the statement by Helmer and Longstaff (1991) that the basis has a negative concave relationship with the level of interest rate. The tests were performed on data from ALSI, FINI and INDI futures contracts. The sample period was from January 1998 to December 2001. The results correspond to those obtained by Chen et al. (1995) in that the basis is negatively related to the volatility of the underlying index. This is true for all the three indices. The other main prediction of the Chen, Cuny and Haugen (CCH) model (1995), which is also supported by the study, is that open interest is significantly related to the volatility of the underlying index. The study also supports the statement by Helmer and Longstaff (1991) that the there is a highly significant negative concave relationship between the basis and interest rate. / AFRIKAANSE OPSOMMING: In "n mark wat rasioneel funksioneer, behoort die prys van die aandele-indeks en aandele-indekstermynkontrakte perfek gekorreleer te wees in tyd. Volgens die drakostemodel behoort die termynkontrakprys op die vervaldatum gelyk te wees aan die billike waarde daarvan. Die basis behoort vir die looptyd van die termynkontrak gelyk te wees aan die drakoste. In die praktyk word die drakostemodel egter vertroebel en wissel die basis en is dit gewoonlik nie gelyk aan die drakoste nie. Redes vir hierdie veranderlikheid van die basis sluit in die waardasie teenoor markprys van die termynkontrak, die belasting van toepassing op loko- en termynkontrakte, asook die transaksiekoste by die aangaan van "n kontrak. transaksiekoste vir termynkontrakte is laer as vir lokokontrakte. Hierdie studie gebruik die model van Chen, Cuny en Haugen (1995) om die verwantskap tussen die basis en die volatiliteit van die onderliggende indeks en tussen die oop kontrakte van die termynkontrak en die volatiliteit van die onderliggende indeks te ondersoek. Chen et al. (1995) voer aan dat daar 'n negatiewe verwantskap is tussen die basis en die volatiliteit van die onderliggende indeks en dat daar "n positiewe verwantskap is tussen die oop rente en die volatiliteit van die onderliggende indeks. Die studie toets ook Helmer en Longstaff (1991) se hipotese dat daar 'n negatiewe, konkawe verhouding tussen die basis en die rentekoersvlak bestaan. Die toetse is uitgevoer op data van ALSI-, FINI- EN INDItermynkontrakte. Die steekproef was van Januarie 1998 tot Desember 2001. Die resultate stem ooreen met dié van Chen, Cuny en Haugen (1995) se model (CCH-model) in dié opsig dat daar "n negatiewe verband is tussen die basis en die volatiliteit van die onderliggende indeks. Dit geld vir al drie die indekse. Die ander hoofresultate van Chen et al. (1995), wat ook deur die studie ondersteun word, is dat daar "n beduidende verband tussen die oop kontrakte en die volatiliteit van die onderliggende indeks bestaan. Die studie ondersteun ook Helmer en Longstaff(1991) se siening dat daar 'n beduidende, negatiewe, konkawe verhouding tussen die basis en die rentekoers bestaan.

Thesis (MPhil)--Stellenbosch University, 2010. / The opportunity identified is to develop further breadth and depth of inquiry in futures work by making explicit the use of questions throughout the process of futures work. The focus of this study is therefore process related rather than subject matter specific. Common sense suggests that all research methods apply questions and inquiry at some point in the process. The proposition put forward is that many research projects only imply questions and do not deliberately articulate the underlying inquiry process. This study therefore focuses on those methods that explicitly apply questions as a deliberate process or as a specific element in a process of futures work. The primary objectives are to identify the extent to which questions are used in existing futures work; to consider how other disciplines could inform the study; and to identify, adapt or create a framework of inquiry specifically for futures thinking, where the framework establishes explicit and deliberate use of questions in the inquiry process. The review of futures literature identified that questions are often used in a specific manner and it is notable the number of futures methods that use questions in a primary role. This becomes most evident in the paradigmatic and exploratory methods. The practitioners who stand out as strong proponents of questions are Inayatullah, Ulrich, Senge, Godet and Sardar. The study then focuses on thinking processes that have relevance to futures work, drawing from other disciplines including psychology, social psychology, philosophy and the social sciences. It explores the use of questions in individual thinking, conversation, collective thinking and learning processes. The process framework is a synthesis of ideas, combining futures thinking with these different perspectives. The concepts are used to generate a framework of futures thinking using positive questions with conversation; and these are the central ideas that distinguish the process. Using all the components concurrently and collectively reflects the systemic nature of futures projects. The preparation and appropriation components define context, identify meaning, create challenges and compel commitment. Positive energy is generated by focusing on positive intentions and positive questions. Individual thinking may be critical, reflective or creative; values, virtues and ethics act as standards for evaluating the wisdom of actions of the individual within a social context. The process is multi dimensional, operating simultaneously and sequentially, within and in conjunction with other methods. Learning is pursued as a collaborative endeavour through conversations that matter. The process framework aims at creating meaningful futures through active engagement in positive questioning and conversation with the aim of taking collective action that is both innovative and wise.

Thesis (MPhil)--Stellenbosch University, 2010. / This research study considers how executive education institutions should be training leaders for the future. The research outlines possible future challenges facing leaders in order to determine the type of training offered by executive education institutions. The study also looks into the current training practices of executive education institutions and explores the challenges currently faced by such institutions. This study discusses the role executive education institutions perform and how learning partnerships between executive education institutions and organisations can influence the role of executive education institutions. This research study has a specific focus on the training processes used by the University of Stellenbosch Business School (USB) Executive Development Ltd as an example of an executive education institution and offers some recommendations for consideration. These recommendations, amongst others, include the inability of off-the-shelf training programmes in not being able to always address the training needs of a company and that a thorough needs analysis should therefore always be done prior to the training; that executive education institutions should strive to be more flexible; that a more solid interdisciplinary research methodology focusing on business-related problems should be employed; that the importance of recognised accreditation should not be negated; and lastly, that anticipatory action learning should be included as part of the training process.

published_or_final_version / Business Administration / Master / Master of Business Administration

published_or_final_version / Business Administration / Master / Master of Business Administration