Multi-commodity price risk hedging in the Atlantic salmon farming industry

Haarstad, Aleksander H.; Lavrutich, Maria; Strypet, Kristian; Strøm, Eivind

doi:10.1016/j.jcomm.2021.100182

Cited by 4 publications

(1 citation statement)

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“…This index is composed of several price elements related to the average weekly spot price of buying and selling of fresh Atlantic salmon and all settlement is on a monthly basis against this index to assure neutral and secure trading for all members. Fish Pool states that all settlement is carried out shortly after the end of each month and thus for the purpose of this study the 30th of each month is assumed as the expiration day (FishPool, 2011). As the Fish Pool markets prices are listed in Euros we had to convert these to Norwegian Kroner in order to be consistent in the estimations.…”

Section: Raw Datamentioning

confidence: 99%

Salmon futures and the Fish Pool market in the context of the CAPM and a three-factor model

Ewald

Haugom

Kanthan

et al. 2021

Aquaculture Economics & Management

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Futures on fresh farmed salmon traded at the Fish Pool market in Norway are analyzed in the context of the Capital Asset Pricing Model (CAPM) and a corresponding three-factor model where contracts are separated based on their maturities. Looking into 1 month; 6 months and 12 months contracts, we find that all alphas and most betas are statistically insignificant. We conclude that the CAPM equilibrium condition holds and that Salmon futures prices move largely uncorrelated with the market portfolio and therefore offer no systematic risk premium. The latter documents that Fish Pool futures should be considered as a pure hedging instrument rather than an investment asset.

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Section: Raw Datamentioning

confidence: 99%