Information Content in Deferred Futures Prices: Live Cattle and Hogs

Dwight R. Sanders, Philip Garcia and Mark Manfredo

No 37562, 2007 Conference, April 16-17, 2007, Chicago, Illinois from NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management

Abstract: The marginal forecast information contained in deferred futures prices is evaluated using the direct test of Vuchelen and Gutierrez. In particular, the informational role of deferred futures contracts in live cattle and hogs is assessed from the two- to twelve-month horizons. The results indicate that unique information is contained in live cattle futures prices out through the ten-month horizon, while hog futures prices add incremental information at all tested horizons. Practitioners using futures-based forecasting methods are well-served by deferred hog futures prices; however, live cattle futures listed beyond the 10 month horizon are not adding incremental information.

Pages: 13
Date: 2007-04
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://ageconsearch.umn.edu/record/37562/files/confp07-07.pdf (application/pdf)

Related works:
Journal Article: Information Content in Deferred Futures Prices: Live Cattle and Hogs (2008)
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:ags:nccsci:37562

DOI: 10.22004/ag.econ.37562

Access Statistics for this paper

More papers in 2007 Conference, April 16-17, 2007, Chicago, Illinois from NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search ().