The Price‐Forecasting Performance of Futures Markets for Live Cattle and Hogs: A Disaggregated Analysis
用分解数据检验了活牛和生猪期货价格预测的四个假设，发现活牛期货预测不佳，而生猪期货在稳定经济条件下表现较好，但不支持期货市场是理性价格形成机构的观点。
Abstract Four hypotheses about the price‐forecasting performance of live cattle and hog futures are tested using disaggregated data. Live cattle futures are found to have inadequate forecasting performance for each hypothesis and do not provide better forecasts than lagged cash prices. Live hog futures perform well for three hypotheses, but not when economic conditions are unstable. Hog futures provide better forecasts than lagged cash prices. The analysis does not support the contention that these futures markets are agencies for rational price formation.