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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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    References listed on IDEAS

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    1. Christopher O’Donnell & Robert Chambers & John Quiggin, 2010. "Efficiency analysis in the presence of uncertainty," Journal of Productivity Analysis, Springer, pages 1-17.
    2. Christopher O’Donnell & Robert Chambers & John Quiggin, 2010. "Efficiency analysis in the presence of uncertainty," Journal of Productivity Analysis, Springer, pages 1-17.
    3. C. J. O'Donnell & W. E. Griffiths, 2006. "Estimating State-Contingent Production Frontiers," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 88(1), pages 249-266.
    4. Teresa Serra & Spiro Stefanou & Alfons Oude Lansink, 2010. "A dynamic dual model under state-contingent production uncertainty," European Review of Agricultural Economics, Foundation for the European Review of Agricultural Economics, pages 293-312.
    5. G. Battese & A. Rambaldi & G. Wan, 1997. "A Stochastic Frontier Production Function with Flexible Risk Properties," Journal of Productivity Analysis, Springer, pages 269-280.
    6. G. Karagiannis & V. Tzouvelekas & A. Xepapadeas, 2003. "Measuring Irrigation Water Efficiency with a Stochastic Production Frontier," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, pages 57-72.
    7. Jean-Paul Chavas, 2008. "A Cost Approach to Economic Analysis Under State-Contingent Production Uncertainty," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 90(2), pages 435-466.
    8. Chambers,Robert G. & Quiggin,John, 2000. "Uncertainty, Production, Choice, and Agency," Cambridge Books, Cambridge University Press, number 9780521622448, December.
    9. Subal C. Kumbhakar, 2002. "Specification and Estimation of Production Risk, Risk Preferences and Technical Efficiency," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 84(1), pages 8-22.
    10. Phoebe Koundouri & Marita Laukkanen & Sami Myyrä & Céline Nauges, 2009. "The effects of EU agricultural policy changes on farmers' risk attitudes," European Review of Agricultural Economics, Foundation for the European Review of Agricultural Economics, pages 53-77.
    11. Xing, Liu & Pietola, Kyosti, 2005. "Forward Hedging Under Price and Production Risk of Wheat," 2005 International Congress, August 23-27, 2005, Copenhagen, Denmark 24467, European Association of Agricultural Economists.
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    Cited by:

    1. 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).
    2. SaangJoon Baak, 1999. "Heterogeneous Expectations, Market Dynamics, and Social Welfare," Computing in Economics and Finance 1999 222, Society for Computational Economics.

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