Information Content in Deferred Futures Prices: Live Cattle and Hogs

Dwight R. Sanders, Philip Garcia and Mark R. Manfredo

Journal of Agricultural and Resource Economics, 2008, vol. 33, issue 01

Abstract: The informational content in live cattle and hog deferred futures prices is assessed using a direct test of incremental forecast ability for two- to twelve-month horizons. For 1976-2007, the results indicate that hog futures prices add incremental information at all horizons, but unique information in live cattle prices declines quickly beyond the eight-month horizon with no incremental information at the twelve-month horizon. The contrast in performance is likely attributable to differences in the quality of public information and the nature of the production process.

Keywords: forecast evaluation; forecast information; futures markets; Demand and Price Analysis; Risk and Uncertainty (search for similar items in EconPapers)
Date: 2008
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Persistent link: http://EconPapers.repec.org/RePEc:ags:jlaare:36709

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