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The Returns and Forecasting Ability of Large Traders in the Frozen Pork Bellies Futures Market

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Author Info
Leuthold, Raymond M
Garcia, Philip
Lu, Richard
Abstract

Using settlement prices and nine years of daily commitments for large reporting traders in the frozen pork bellies futures market, the authors find that these traders generate significant profits and the distribution of trader returns over time is not random. Further analysis finds that a subset of large elite traders possesses significant forecasting ability, indicating that they not only are able to consistently anticipate the direction of price changes but are also on the right side of the market when large price changes occur. Hence, certain futures market traders accumulate trading experience and knowledge, permitting them to accrue considerable wealth. Copyright 1994 by University of Chicago Press.

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Publisher Info
Article provided by University of Chicago Press in its journal Journal of Business.

Volume (Year): 67 (1994)
Issue (Month): 3 (July)
Pages: 459-73
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Handle: RePEc:ucp:jnlbus:v:67:y:1994:i:3:p:459-73

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  1. Andersson, Patric, 2004. "How well do financial experts perform? A review of empirical research on performance of analysts, day-traders, forecasters, fund managers, investors, and stockbrokers," Working Paper Series in Business Administration 2004:9, Stockholm School of Economics. [Downloadable!]
  2. Emmanuel Acar, Stephen E. Satchell, 1997. "A theoretical analysis of trading rules: an application to the moving average case with Markovian returns," Applied Mathematical Finance, Taylor and Francis Journals, vol. 4(3), pages 165-180, September. [Downloadable!] (restricted)
  3. Peter R. Locke & Asani Sarkar & Lifan Wu, 1997. "Market liquidity and trader welfare in multiple dealer markets: evidence from dual trading restrictions," Research Paper 9721, Federal Reserve Bank of New York. [Downloadable!]
  4. Carl R. Zulauf & Scott H. Irwin, 1997. "Market Efficiency and Marketing to Enhance Income of Crop Producers," Finance 9711004, EconWPA. [Downloadable!]
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