Pricing Efficiency in the Live Cattle Futures Market: Further Interpretation and Measurement
Philip Garcia,
Raymond M. Leuthold,
T. Randall Fortenbery and
Gboroton F. Sarassoro
American Journal of Agricultural Economics, 1988, vol. 70, issue 1, 162-169
Abstract:
The pricing efficiency of the live cattle futures market is evaluated using out-of-sample forecasts from an econometric model, an ARIMA model, and composite forecasting procedures. In terms of the mean-squared error criterion, a necessary condition for market efficiency, at least one of the models, and frequently more, forecasted more accurately than did the futures market. However, market simulation results based on the most accurate forecasts generated large risk-return ratios. These results do not show strong evidence of inefficiency and call into question the use of only mean-squared errors to examine a market's pricing efficiency.
Date: 1988
References: Add references at CitEc
Citations: View citations in EconPapers (23)
Downloads: (external link)
http://hdl.handle.net/10.2307/1241986 (application/pdf)
Access to full text is restricted to subscribers.
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:oup:ajagec:v:70:y:1988:i:1:p:162-169.
Access Statistics for this article
American Journal of Agricultural Economics is currently edited by Madhu Khanna, Brian E. Roe, James Vercammen and JunJie Wu
More articles in American Journal of Agricultural Economics from Agricultural and Applied Economics Association Contact information at EDIRC.
Bibliographic data for series maintained by Oxford University Press ().