Cross-hedging the cottonseed crush: A case study

Roger A. Dahlgran

Research output: Contribution to journalArticlepeer-review

12 Scopus citations


This article reports, without breaching confidentiality agreements, on a cross-hedging consulting study performed for a cottonseed crusher. This article’s objectives are twofold. First, it examines how futures markets should be used to hedge cottonseed crushing. The soybean crushing spread is applied in a cross-hedging context with a portfolio-risk minimization objective to develop the desired hedge ratios for a variety of cross-hedging portfolios and for several hedge horizons. The hedge ratios and hedging effectiveness statistics resulting from this analysis are reported. Second, based on follow-up discussions, this article reports on whether the recommended hedging strategies were adopted, how they were applied, the difficulties in implementing these strategies, and differences between managerial and academic perceptions of hedging strategies. This will lead to the conclusion that the economics of hedge management are as important as the underlying risk aversion in determining hedging behavior.

Original languageEnglish (US)
Pages (from-to)141-158
Number of pages18
Issue number2
StatePublished - Mar 2000

ASJC Scopus subject areas

  • Food Science
  • Geography, Planning and Development
  • Animal Science and Zoology
  • Agronomy and Crop Science
  • Economics and Econometrics


Dive into the research topics of 'Cross-hedging the cottonseed crush: A case study'. Together they form a unique fingerprint.

Cite this