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On Dynamic Arbitrage Pricing and Information: The Case of the US Broiler Sector

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  • Chavas, Jean-Paul

Abstract

The paper investigates the nature of arbitrage price dynamics and expectations formation in the US broiler market. The analysis provides evidence of heterogeneous expectations among market participants. A significant part of broiler pricing is found to be consistent with quasi-rational expectations where future prices are anticipated on the basis of their observed historical patterns. However, most of the market is found to be associated with naive expectations, where future prices are anticipated on the basis of the last observed price. Copyright 1999 by Oxford University Press.

Suggested Citation

  • Chavas, Jean-Paul, 1999. "On Dynamic Arbitrage Pricing and Information: The Case of the US Broiler Sector," European Review of Agricultural Economics, Foundation for the European Review of Agricultural Economics, vol. 26(4), pages 493-510, December.
  • Handle: RePEc:oup:erevae:v:26:y:1999:i:4:p:493-510
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    Cited by:

    1. SaangJoon Baak, 1999. "Heterogeneous Expectations, Market Dynamics, and Social Welfare," Computing in Economics and Finance 1999 222, Society for Computational Economics.
    2. Lambert, Dayton M. & Lowenberg-DeBoer, James & Malzer, Gary L., 2005. "Managing Phosphorous Soil Dynamics Over Space And Time," 2005 Annual meeting, July 24-27, Providence, RI 19452, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).

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