Skip to main content Accessibility help
×
Home

The Response of Futures Prices to New Market Information: The Case of Live Hogs

  • Steve Miller (a1)

Extract

Writing about empirical tests of stock market efficiency, Fama et al. [2, p. 1] noted that

“… the usual procedure has been to infer market efficiency from the observed independence of successive price changes. There has been very little actual testing of the speed of adjustment of prices to specific kinds of new information.”

Copyright

References

Hide All
[1] Cargill, T. F. and Rauser, G. C.. “Time and Frequency Domain Representations of Futures Prices as a Stochastic Process,” Journal of the American Statistical Association, Volume 67, 1972, pp. 2330.
[2] Fama, E. F., Fisher, L. Jensen, M. C., and Roll, R.. “The Adjustment of Stock Prices to New Information,” International Economic Review, Volume 10, 1969, pp. 121.
[3] Gorman, M.Public and Private Sector Information in Agricultural Commodity Markets,” Economic Review (Federal Reserve Bank of San Francisco), Spring 1978, pp. 3038.
[4] Larson, A. B.Measurement of a Random Process in Futures Prices,” Food Research Institute Studies, Volume 1, 1960, pp. 313324.
[5] Leuthold, R. M.Evaluating the Performance of the Live Beef Cattle Futures Contract,” Illinois Agricultural Economics, Volume 15, 1975, pp. 2125.
[6] Leuthold, R. M.The Price Performance on the Futures Market of a Nonstorable Commodity: Live Beef Cattle,” American Journal of Agricultural Economics, Volume 56, 1974, pp. 271279.
[7] Leuthold, R. M.Random Walk and Price Trends: The Live Cattle Futures Market,” Journal of Finance, Volume 27, 1972, pp. 879889.
[8] Leuthold, R. M. and Hartman, P. A.. “A Semi-Strong Form Evaluation of the Hog Futures Market with a Jacknife Model,” unpublished manuscript, University of Illinois, 1978.
[9] Pearson, D. and Houck, J. P.. “Price Impacts of SRS Crop Production Reports: Corn, Soybeans, and Wheat,” unpublished manuscript, University of Minnesota, April 1977.
[10] Stevenson, R. A. and Bear, R. M.. “Commodity Futures: Trends or Random Walks?Journal of Finance, Volume 25, 1970, pp. 6581.

The Response of Futures Prices to New Market Information: The Case of Live Hogs

  • Steve Miller (a1)

Metrics

Full text views

Total number of HTML views: 0
Total number of PDF views: 0 *
Loading metrics...

Abstract views

Total abstract views: 0 *
Loading metrics...

* Views captured on Cambridge Core between <date>. This data will be updated every 24 hours.

Usage data cannot currently be displayed