The Price Performance on the Futures Market of a Nonstorable Commodity: Live Beef Cattle

Abstract

Cash cattle prices are found to be more accurate indicators of subsequent cash cattle price conditions than are the futures prices for distant contracts. This apparent relative inability of futures prices for live beef cattle to reflect later spot prices is becoming more pronounced over time.

A Literature Review of Treasury Bond Futures Pricing and Arbitrage Method

“…The characteristic of this kind of method is the pursuit of hedging portfolio minimization [23]. Leuthold (1974) [24], Martin and Carcia (1981) [25], Hokkio Rush (1989) [26], Bhattacharya and Smgh (2007) [27] etc. still regarded the futures price can't unbiased estimate future spot price as an evidence of market was invalid.…”

Aspects of Hedging Theory

“…For these reasons a more appropriate method of estimation is by instrumental variables, and this method has been used by Giles andGoss (1980a, 1980b) and Goss (1980a). Several authors have used OLS regression with daily data selected on a middle or end of month basis, and generally, in the case of United States data, little evidence of first-order autocorrelation has been found (Tomek and Gray 1970;Kofi 1973;Leuthold 1974), although Gellatly (1980) found the opposite to be true of OLS regressions with Australian live beef price data selected in this way.…”

“…Leuthold (1974) has offered an explanation for the brief (three months) unbiased prediction period for beef in terms of the typical hedging period, and Kofi (1973) proposed an explanation in terms of the quality of information on supply and demand conditions. This latter interpretation is supported by the results of Cox (1976) which are consistent with the view that economic agents in the live beef and potato markets are less well informed than their counterparts in markets for onions, hogs and pork bellies.…”

“…Futures markets have also been subjected to semi-strong form tests for efficiency, either by use of 'own' and related forecast errors, or by comparison of predictive performance of futures prices and a rival forecast. The results for U.S. Treasury Bills (Hamburger and Platt 1975) and some currencies (Hansen and Hodrick 1979) have been more favourable than those for U.S. hogs (Leuthold and Hartmann 1979). Fourth, futures markets perform a forward pricing function, and futures prices have been interpreted as market anticipations of delivery date cash prices.…”

Modelo de avaliação de risco para predição de preços de carne bovina utilizando inteligência computacional

“…O resultado da previsão da RNA ilustrada na figura 45 deixa claro que, considerando um período de 100 dias adiante, a série treinada com 50% dos dados foi suficiente para que a previsão da RNA apresente o mesmo comportamento da série histórica real. Este resultado esta de acordo com Leuthold (1974), Chon e Cohen (1997), Ntungo e Boyd (1998), Bressan atualmente, há poucas discussões na literatura quanto à linearidade do modelo. Exemplo disso é o trabalho de Ferreira et al (2013) que, utilizando série de preços de boi gordo consideraram o comportamento linear e não linear apenas para termos autoregressivos e em períodos de maior sazonalidade econômica mas não discutem, por exemplo, os termos quadráticos conforme aqueles mostrados na equação 23 e 24 , e nem evidenciam em gráficos a previsão, discutindo apenas em termos do erro do modelo por eles proposto.…”