This paper develops a simultaneous rational expectations model of the U.S. oats market, with categories of agents which include hedgers, speculators and consumers. The post sample forecasts of the spot price derived from this model are employed to test the semi-strong form efficient markets hypothesis (EMH). These results are compared with those for a similar model which uses adaptive expectations. Forecasts derived from the rational model do not outperform the forward (futures) price as a predictor of the spot price, although an adaptive model-futures price composite predictor significantly outperforms the futures price, and hence contains evidence against the EMH.