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The Reaction Of Livestock Futures Prices To New Information

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  • Colling, Phil L.
  • Irwin, Scott H.
  • Zulauf, Carl R.

Abstract

Effects of USDA Hogs and Pigs reports on live hog, pork belly, live cattle and feeder cattle futures prices are examined. Evidence suggests that some of those prices underreact or overreact initially to unanticipated information contained in the Hogs and Pigs reports. However, price-trend following and contrarian trading strategies generate profits only for some of the pork belly, live cattle and feeder cattle contracts. These results, which hold for both in- and out-of-sample analysis, suggest that with respect to the Hogs and Pigs report, the live hog futures market is economically efficient but some inefficiencies exist in the pork belly, live cattle, and feeder cattle futures markets.

Suggested Citation

  • Colling, Phil L. & Irwin, Scott H. & Zulauf, Carl R., 1991. "The Reaction Of Livestock Futures Prices To New Information," 1991 Annual Meeting, August 4-7, Manhattan, Kansas 271203, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    • Handle: RePEc:ags:aaea91:271203
    DOI: 10.22004/ag.econ.271203
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    References listed on IDEAS

    as
    1. Koontz, Stephen R. & Hudson, Michael A. & Purcell, Wayne D., 1984. "The Impact Of Hog And Pig Reports On Live Hog Futures Prices: An Event Study Of Market Efficiency," 1984 Annual Meeting, August 5-8, Ithaca, New York 278981, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    2. Rosett, Richard N & Nelson, Forrest D, 1975. "Estimation of the Two-Limit Probit Regression Model," Econometrica, Econometric Society, vol. 43(1), pages 141-146, January.
    3. Miller, Stephen E., 1979. "The Response Of Futures Prices To New Market Information: The Case Of Live Hogs," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, vol. 11(1), pages 1-4, July.
    4. Ted Schroeder & Joanne Blair & James Mintert, 1990. "Abnormal Returns in Livestock Futures Prices Around USDA Inventory Report Releases," Review of Agricultural Economics, Agricultural and Applied Economics Association, vol. 12(2), pages 293-304.
    5. Miller, Steve, 1979. "The Response of Futures Prices to New Market Information: The Case of Live Hogs," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 11(1), pages 67-70, July.
    6. Phil L. Colling & Scott H. Irwin, 1990. "The Reaction of Live Hog Futures Prices to USDA Hogs and Pigs Reports," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 72(1), pages 84-94.
    7. Scott W. Barnhart, 1989. "The Effects of Macroeconomic Announcements on Commodity Prices," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 71(2), pages 389-403.
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