文章基本信息

标题：ARE LIVESTOCK FUTURES PRICES RATIONAL FORECASTS?
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作者：Shonkwiler, John Scott
期刊名称：Journal of Food Distribution Research
印刷版ISSN：0047-245X
出版年度：1986
页码：123-128
出版社：Food Distribution Research Society
摘要：A measure for evaluating whether live hog and cattle futures prices represent rational forecasts is presented. It is assumed that the mechanisms which generate rational price forecasts possess the same stochastic properties as the cash prices with which they are associated. Using empirical data, tests are constructed which suggest that for contracts more than two months from maturity the rationality hypothesis is generally rejected. These findings are related to other studies of futures performance and the livestock markets.