The Reaction of Live Hog Futures Prices to USDA Hogs and Pigs Reports

Phil L. Colling · Scott H. Irwin

114 citations0/0 files storedAmerican Journal of Agricultural Economics

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Economics of Agriculture and Food Markets Financial Markets and Investment Strategies Market Dynamics and Volatility

Abstract

Abstract Strong concerns about how efficiently live hog futures prices react to U.S. Department of Agriculture Hogs and Pigs Reports have been raised by livestock producer groups. Using market survey data, direct tests of the efficient markets hypothesis are performed for the live hog futures market. Two‐limit tobit models account for institutional price limits. Results support the efficient market hypothesis in that live hog futures prices (a) do not react to anticipated changes in reported information, (b) do react significantly and in the expected direction to unanticipated changes in reported information, and (c) generally adjust to unanticipated information on the day following release of the reports.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 114 citations exist upstream.

References

1983Limited-dependent and qualitative variables in econometrics 1985Stock Prices and Economic News 1973Inflation, Rational Expectations and the Term Structure of Interest Rates 1989The Distribution of Futures Prices: A Test of the Stable Paretian and Mixture of Normals Hypotheses 1982The Response of Short-Term Interest Rates to Weekly Money Announcements 1979Macroinformation and the Variability of Stock Market Prices

Cited by

1999Commodity futures markets: a survey 1997The value of public information in commodity futures markets 2012Quantifying the WASDE Announcement Effect 1993The effects of USDA reports in futures and options markets 2008The Impact of Situation and Outlook Information in Corn and Soybean Futures Markets: Evidence from WASDE Reports 2009Analyst forecasts and price discovery in futures markets: The case of natural gas storage 1998TRENDS IN THE ACCURACY OF USDA PRODUCTION FORECASTS FOR BEEF AND PORK 2005

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.