publication . Article . 1988

Pricing Efficiency in the Live Cattle Futures Market: Further Interpretation and Measurement

Philip Garcia; Raymond M. Leuthold; T. Randall Fortenbery; Gboroton F. Sarassoro;
Open Access
  • Published: 01 Jan 1988 Journal: American Journal of Agricultural Economics, volume 70, issue 1, pages 162-169
Abstract
The pricing efficiency of the live cattle futures market is evaluated using out-of-sample forecasts from an econometric model, an ARIMA model, and composite forecasting procedures. In terms of the mean-squared error criterion, a necessary condition for market efficiency, at least one of the models, and frequently more, forecasted more accurately than did the futures market. However, market simulation results based on the most accurate forecasts generated large risk-return ratios. These results do not show strong evidence of inefficiency and call into question the use of only mean-squared errors to examine a market's pricing efficiency.
Subjects
free text keywords: Agricultural and Biological Sciences (miscellaneous), Economics and Econometrics, Market simulation, Market efficiency, Inefficiency, Autoregressive integrated moving average, Econometric model, Futures market, Economics, Financial economics, Forward market, Futures contract
Powered by OpenAIRE Research Graph
Any information missing or wrong?Report an Issue