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Efficiency Tests Of July Kansas City Wheat Futures

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  • Kastens, Terry L.
  • Schroeder, Ted C.

Abstract

Three procedures are used to test Fama semistrong from efficiency of harvesttime price of Kansas City July wheat futures from 1947 through 1995. The three methods are (a) testing for jointly significant parameter estimates on nonfutures explanatory variables in econometric forecasting models, (b) testing the relative accuracy between model-based forecasts and using deferred futures prices as forecasts, and (c) testing for abnormal profits associated with simulated futures trading signaled by the forecasts. Kansas City July wheat futures are generally efficient. Furthermore, relative to the efficiency associated with forecasts constructed one to two months before harvest, the efficiency associated with the five- to six-month period before harvest has increased, especially since the early 1980s.

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Bibliographic Info

Article provided by Western Agricultural Economics Association in its journal Journal of Agricultural and Resource Economics.

Volume (Year): 21 (1996)
Issue (Month): 02 (December)
Pages:

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Handle: RePEc:ags:jlaare:31035

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Web page: http://waeaonline.org/
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Keywords: Marketing;

References

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  1. Russell Davidson & James G. MacKinnon, 1981. "Tests for Model Specification in the Presence of Alternative Hypotheses: Some Further Results," Working Papers 430, Queen's University, Department of Economics.
  2. Allen, P. Geoffrey, 1994. "Economic forecasting in agriculture," International Journal of Forecasting, Elsevier, vol. 10(1), pages 81-135, June.
  3. Bessler, David A. & Brandt, Jon A., 1992. "An analysis of forecasts of livestock prices," Journal of Economic Behavior & Organization, Elsevier, vol. 18(2), pages 249-263, July.
  4. Gerlow, Mary E. & Irwin, Scott H. & Liu, Te-Ru, 1993. "Economic evaluation of commodity price forecasting models," International Journal of Forecasting, Elsevier, vol. 9(3), pages 387-397, November.
  5. Ashley, R & Granger, C W J & Schmalensee, R, 1980. "Advertising and Aggregate Consumption: An Analysis of Causality," Econometrica, Econometric Society, vol. 48(5), pages 1149-67, July.
  6. Harvey, Andrew C. & Collier, Patrick, 1977. "Testing for functional misspecification in regression analysis," Journal of Econometrics, Elsevier, vol. 6(1), pages 103-119, July.
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Citations

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Cited by:
  1. Schroeder, Ted C. & Parcell, Joseph L. & Kastens, Terry L. & Dhuyvetter, Kevin C., 1998. "Perceptions Of Marketing Strategies: Producers Versus Extension Economists," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 23(01), July.
  2. Nivens, Heather D. & Kastens, Terry L. & Dhuyvetter, Kevin C., 2000. "Using Satellite Imagery In Kansas Crop Yield And Net Farm Income Forecasts," 2000 Conference, April 17-18 2000, Chicago, Illinois 18943, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  3. Vergara, Oscar & Coble, Keith H. & Hudson, Darren & Knight, Thomas O. & Patrick, George F. & Baquet, Alan E., 2005. "Target Markets for Grain and Cotton Marketing Consultants and Market Information Systems," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 30(01), April.
  4. Joao Martines-Filho, 2006. "The Performance of Agricultural Market Advisory Services in Corn and Soybeans," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 88(1), pages 162-181.
  5. Carl R. Zulauf & Scott H. Irwin, 1997. "Market Efficiency and Marketing to Enhance Income of Crop Producers," Finance 9711004, EconWPA.
  6. Nivens, Heather D. & Kastens, Terry L. & Dhuyvetter, Kevin C., 2002. "Payoffs To Farm Management: How Important Is Crop Marketing?," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 34(01), April.
  7. Jirik, Mark A. & Irwin, Scott H. & Good, Darrel L. & Martines-Filho, Joao & Jackson, Thomas E., 2001. "Do Agricultural Market Advisory Services Beat The Market? Evidence From The Wheat Market Over 1995-1998," AgMAS Project Research Reports 14778, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.
  8. Irwin, Scott H. & Jackson, Thomas E. & Good, Darrel L., 1999. "Do Agricultural Market Advisory Services Beat The Market? Evidence From The Corn And Soybean Markets Over 1995-1997," AgMAS Project Research Reports 14789, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.
  9. Irwin, Scott H. & Good, Darrel L. & Martines-Filho, Joao & Jackson, Thomas E., 2000. "Do Agricultural Market Advisory Services Beat The Market? Evidence From The Corn And Soybean Markets Over 1995-1998," AgMAS Project Research Reports 14786, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.
  10. Good, Darrel L. & Irwin, Scott H. & Martines-Filho, Joao & Hagedorn, Lewis A., 2005. "The Pricing Performance of Market Advisory Services in Corn and Soybeans over 1995-2003," AgMAS Project Research Reports 14775, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.
  11. Irwin, Scott H. & Good, Darrel L. & Martines-Filho, Joao & Batts, Ryan M., 2006. "The Pricing Performance of Market Advisory Services in Corn and Soybeans Over 1995-2004," AgMAS Project Research Reports 37513, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.
  12. Coble, Keith H. & Barnett, Barry J., 1999. "The Role Of Research In Producer Risk Management," Professional Papers 15803, Mississippi State University, Department of Agricultural Economics.
  13. Klumpp, Joni M. & Brorsen, B. Wade & Anderson, Kim B., 2005. "The Impact of Marketing Strategy Information on the Producer's Selling Decision," 2005 Conference, April 18-19, 2005, St. Louis, Missouri 19036, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  14. Siaplay, Mounir & Anderson, Kim B. & Brorsen, B. Wade, 2007. "Using Basis and Futures Prices as a Barometer in Deciding Whether to Store Grain or Not," 2007 Conference, April 16-17, 2007, Chicago, Illinois 37575, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.

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