Information content in deferred futures prices: Live cattle and hogs

Dwight R. Sanders, Philip Garcia, Mark Manfredo

Research output: Contribution to journalArticle

1 Scopus citations

Abstract

The informational content in live cattle and hog deferred futures prices is assessed using a direct test of incremental forecast ability for two- to twelve-month horizons. For 1976-2007, the results indicate that hog futures prices add incremental information at all horizons, but unique information in live cattle prices declines quickly beyond the eight-month horizon with no incremental information at the twelve-month horizon. The contrast in performance is likely attributable to differences in the quality of public information and the nature of the production process.

Original languageEnglish (US)
Pages (from-to)87-98
Number of pages12
JournalJournal of Agricultural and Resource Economics
Volume33
Issue number1
StatePublished - Apr 1 2008

Keywords

  • Forecast evaluation
  • Forecast information
  • Futures markets

ASJC Scopus subject areas

  • Animal Science and Zoology
  • Agronomy and Crop Science
  • Economics and Econometrics

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