The Market Timing Value of Outlook Price Forecasts

Scott H. Irwin, Mary E. Gerlow and Te-Ru Liu

No 271261, 1991 Annual Meeting, August 4-7, Manhattan, Kansas from American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association)

Abstract: The purpose of this study was to conduct a comprehensive evaluation of the market timing value of outlook price forecasts. One-, two-, and three-quarter ahead hog and cattle price forecasts from the four outlook programs were examined. Results of Merton market timing tests indicate that the outlook programs generally produce valuable hog price forecasts. However, the strength of the market timing value tended to diminish as the forecast horizon increased. The performance of the outlook programs in forecasting cattle prices was not as impressive.

Keywords: Demand and Price Analysis; Marketing (search for similar items in EconPapers)
Pages: 20
Date: 1991-08-04
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Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea91:271261

DOI: 10.22004/ag.econ.271261

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