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Title: Information Content in Deferred Futures Prices: Live Cattle and Hogs
Authors: Sanders, Dwight R.
Garcia, Philip
Manfredo, Mark R.
Keywords: forecast evaluation
forecast information
futures markets
Issue Date: 2008-04
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.
Institution/Association: Journal of Agricultural and Resource Economics>Volume 33, Number 01, April 2008
Total Pages: 12
From Page: 87
To Page: 98
Collections:Volume 33, Number 1, April 2008

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