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Information Content in Deferred Futures Prices: Live Cattle and Hogs

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Author Info

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

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    File URL: http://purl.umn.edu/36709
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    Bibliographic Info

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

    Volume (Year): 33 (2008)
    Issue (Month): 01 (April)
    Pages:

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    Handle: RePEc:ags:jlaare:36709

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    Web page: http://waeaonline.org/
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    Related research

    Keywords: forecast evaluation; forecast information; futures markets; Demand and Price Analysis; Risk and Uncertainty;

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Dwight R. Sanders & Mark R. Manfredo, 2005. "Forecast Encompassing as the Necessary Condition to Reject Futures Market Efficiency: Fluid Milk Futures," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 87(3), pages 610-620.
    2. Kastens, Terry L. & Jones, Rodney D. & Schroeder, Ted C., 1998. "Futures-Based Price Forecasts For Agricultural Producers And Businesses," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 23(01), July.
    3. Vuchelen, Jef & Gutierrez, Maria-Isabel, 2005. "A direct test of the information content of the OECD growth forecasts," International Journal of Forecasting, Elsevier, vol. 21(1), pages 103-117.
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    Cited by:
    1. Schnake, Kristin N. & Karali, Berna & Dorfman, Jeffrey H., 2012. "The Informational Content of Distant-Delivery Futures Contracts," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 37(2), August.

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