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The value of public information in commodity futures markets

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  • Garcia, Philip
  • Irwin, Scott H.
  • Leuthold, Raymond M.
  • Yang, Li

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  • Garcia, Philip & Irwin, Scott H. & Leuthold, Raymond M. & Yang, Li, 1997. "The value of public information in commodity futures markets," Journal of Economic Behavior & Organization, Elsevier, vol. 32(4), pages 559-570, April.
  • Handle: RePEc:eee:jeborg:v:32:y:1997:i:4:p:559-570
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    References listed on IDEAS

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    1. Kevin P. McNew & Juan Andres Espinosa, 1994. "The informational content of USDA crop reports: Impacts on uncertainty and expectations in grain futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 14(4), pages 475-492, June.
    2. Cumby, Robert E. & Modest, David M., 1987. "Testing for market timing ability : A framework for forecast evaluation," Journal of Financial Economics, Elsevier, vol. 19(1), pages 169-189, September.
    3. Henriksson, Roy D & Merton, Robert C, 1981. "On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills," The Journal of Business, University of Chicago Press, vol. 54(4), pages 513-533, October.
    4. Christy, Ralph D., 1994. "Private Strategies and Public Policies: The Economics of Information and the Economic Organization of Markets," Re-Engineering Marketing Policies for Food and Agriculture - FAMC 1994 Conference 265976, Food and Agricultural Marketing Consortium (FAMC).
    5. Orazem, Peter & Baur, Robert F., 1994. "The Rationality and Price Effects of Usda Forecasts of Oranges," Staff General Research Papers Archive 11133, Iowa State University, Department of Economics.
    6. Richard E. Just, 1983. "The Impact of Less Data on the Agricultural Economy and Society," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 65(5), pages 872-881.
    7. 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.
    8. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
    9. Merton, Robert C, 1981. "On Market Timing and Investment Performance. I. An Equilibrium Theory of Value for Market Forecasts," The Journal of Business, University of Chicago Press, vol. 54(3), pages 363-406, July.
    10. T. Randall Fortenbery & Daniel A. Sumner, 1993. "The effects of USDA reports in futures and options markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 13(2), pages 157-173, April.
    11. Christy, Ralph D., 1994. "Private Strategies and Public Policies: The Economics of Information and the Economic Organization of Markets," Staff Papers 121314, Cornell University, Department of Applied Economics and Management.
    12. 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.
    13. Stein, Jerome L, 1992. "Cobwebs, Rational Expectations and Futures Markets," The Review of Economics and Statistics, MIT Press, vol. 74(1), pages 127-134, February.
    14. Colin A. Carter & Carl A. Galopin, 1993. "Informational Content of Government Hogs and Pigs Reports," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 75(3), pages 711-718.
    15. McNichols, Maureen & Trueman, Brett, 1994. "Public disclosure, private information collection, and short-term trading," Journal of Accounting and Economics, Elsevier, vol. 17(1-2), pages 69-94, January.
    16. Allen, P. Geoffrey, 1994. "Economic forecasting in agriculture," International Journal of Forecasting, Elsevier, vol. 10(1), pages 81-135, June.
    17. Daniel A. Summer & Rolf A. E. Mueller, 1989. "Are Harvest Forecasts News? USDA Announcements and Futures Market Reactions," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 71(1), pages 1-8.
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