Information Content in Deferred Futures Prices: Live Cattle and Hogs

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.


Issue Date:
2008-04
Publication Type:
Journal Article
PURL Identifier:
http://purl.umn.edu/36709
Published in:
Journal of Agricultural and Resource Economics, Volume 33, Number 1
Page range:
87-98
Total Pages:
12




 Record created 2017-04-01, last modified 2017-08-25

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