The role of proprietary information in forecasting and market efficiency in the U.S. live cattle futures market is investigated. the proprietary data. We also test whether the initial estimates from the Cattle on Feed Report have new information that moves prices once the information contained in the proprietary data source has been taken into account. Results suggest that the information contained in the proprietary data source does have statistically significant explanatory power for forecasting final revised Cattle on Feed Report numbers and for predicting short-term price movements of futures contracts. The results are inconsistent with strong-form market efficiency in the live cattle futures market. We also find that the initial estimates in the Cattle on Feed Report still have new information that moves prices even after accounting for the unique information in both the Knight-Ridder pre-release forecasts and the proprietary data.

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