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FORECASTING ACCURACY, RATIONAL EXPECTATIONS AND MARKET EFFICIENCY IN THE US BEEF CATTLE INDUSTRY AgEcon
Schaefer, Matthew P.; Myers, Robert J..
Recent studies have tested whether futures prices respond to U.S. Department of Agriculture inventory reports in accordance with the efficient markets hypothesis. These studies use survey forecasts to identify the anticipated and unanticipated information contained in a report. However, this approach implicitly assumes that survey forecasts be an unbiased and efficient predictor of the data in the USDA report. Furthermore, previous studies have not tested the bias and efficiency properties of USDA preliminary estimates as predictors of final revised USDA figures. This study introduces a framework for conducting tests of the efficient markets hypothesis in the presence of biased and inefficient survey forecasts, and preliminary USDA estimates that are...
Tipo: Conference Paper or Presentation Palavras-chave: Market efficiency; Rational expectations; Survey forecasts; Cattle On-Feed Report; Financial Economics; Livestock Production/Industries; Production Economics.
Ano: 1999 URL: http://purl.umn.edu/21487
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