Information Content in Deferred Futures Prices: Live Cattle and Hogs

The marginal forecast information contained in deferred futures prices is evaluated using the direct test of Vuchelen and Gutierrez. In particular, the informational role of deferred futures contracts in live cattle and hogs is assessed from the two- to twelve-month horizons. The results indicate that unique information is contained in live cattle futures prices out through the ten-month horizon, while hog futures prices add incremental information at all tested horizons. Practitioners using futures-based forecasting methods are well-served by deferred hog futures prices; however, live cattle futures listed beyond the 10 month horizon are not adding incremental information.


Issue Date:
2007-04
Publication Type:
Conference Paper/ Presentation
PURL Identifier:
http://purl.umn.edu/37562
Total Pages:
13




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

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