Rational expectations and market efficiency in the U.S. live cattle futures market: The role of proprietary information

Abstract

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.

Delivery horizon and grain market volatility

“…Colling and Irwin (1990) and Mann and Dowen (1996) study the effects of USDA Hogs and Pigs Reports on the near and distant live hog futures contracts. Schaefer, Myers, and Koontz (2004) analyze the nearby, first deferred, and second deferred live cattle futures contracts to analyze the efficiency of the market. All three studies analyze contracts as separate time series.…”

“…Journal of Futures Markets DOI: 10.1002/fut Koontz (2004) in positing that delivery horizon is the correct grouping of the data for modeling volatility of CBOT corn, soybean, and oats futures contracts.…”

Announcement effects and the theory of storage: an empirical study of lumber futures

“…1 1 Studies that have analyzed more than the nearby contract price include Colling and Irwin (1990), Mann and Dowen (1996), and Schaefer et al (2004). Colling and Irwin (1990), and Mann and Dowen (1996) examine near and distant contracts to infer the effects of USDA Hogs and Pigs Reports.…”

“…Colling and Irwin (1990), and Mann and Dowen (1996) examine near and distant contracts to infer the effects of USDA Hogs and Pigs Reports. Schaefer et al (2004) analyze three contracts—nearby, first, and second deferred—to study the efficiency of live cattle futures markets. All three studies analyze contracts as separate time series and none combines the analysis of different contracts into a system as we do, which allows a parametric treatment of the dependence of announcement effects on time to delivery.…”

Semi-Strong Form Efficiency in the Baltic Stock Markets under Changing Economic Situation

“…An efficient market was commonly described as nonexistent, where all the information was publicly available and prices reflected historical information, not allowing to earn excess returns. Even if the concept of an efficient market theory was broad, in reality it was limited and frequently narrowed down to the EMH (Fama, 1970;Goss, 1983;Klimasauskiene and Moscinskiene, 1998;Leipus and Norvaisa, 2003;Schaffer, Myers & Koontz, 2004).…”