The Reaction of Live Hog Futures Prices to USDA Hogs and Pigs Reports
利用市场调查数据，通过双限Tobit模型检验活猪期货市场对农业部报告信息的反应，发现价格仅对未预期信息有显著反应，支持有效市场假说。
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.