Live Cattle Futures Response to Cattle on Feed Reports
利用Knight-Ridder调查数据，基于有效市场假说识别《育肥牛报告》中的意外信息，检验理性预期条件，发现活牛期货价格对报告中的意外信息有快速反应。
Abstract Knight‐Ridder surveys provide prerelease expectations of the information in the Cattle on Feed reports. The Knight‐Ridder information is employed here, in accordance with the efficient markets hypothesis, to identify the unanticipated information provided in Cattle on Feed reports. Rational expectations theory is used to test Knight‐Ridder forecasts for unbiasedness, efficiency, and forecast performance. The forecasts mostly satisfy rationality conditions. Live cattle futures prices respond to unanticipated information about placements and marketings contained in Cattle on Feed releases. However, report information is absorbed quickly.