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R. Leuthold (1974)
The Price Performance on the Futures Market of a Nonstorable Commodity: Live Beef CattleAmerican Journal of Agricultural Economics, 56
P. Fagan, W. Labys, C. Granger (1971)
Speculation, Hedging and Commodity Price Forecasts, 134
E. Maberly (1985)
Testing futures market efficiency—A restatementJournal of Futures Markets, 5
L. Martin, P. Garcia (1981)
The Price-Forecasting Performance of Futures Markets for Live Cattle and Hogs: A Disaggregated AnalysisAmerican Journal of Agricultural Economics, 63
D. Bigman, D. Goldfarb, E. Schechtman (1983)
Futures market efficiency and the time content of the information setsJournal of Futures Markets, 3
D. Dickey, W. Fuller (1979)
Distribution of the Estimators for Autoregressive Time Series with a Unit RootJournal of the American Statistical Association, 74
C. Chatfield, W. Fuller (1976)
Introduction to Statistical Time Series., 140
M. Leath, P. Garcia (1983)
The Efficiency of the Corn Futures Market in Establishing Forward Prices, 5
he efficiency of futures pricing has been investigated using the model: S,+i = a + bF:+i + e,+i (1) where St+i is the spot price at t i; F:+i is the price at t for the futures coni; e,+i is a random disturbance with mean zero and tract maturing at t : ; variance a and a and b are fixed parameters. Pricing is considered efficient if a = 0 and b = 1. However, empirical estimates of the aâs have generally been positive and the bâs less than one, at least for futures contracts several weeks before maturity (e.g., Bigman, Goldfarb and Schechtman (1983)â Leuthold (1974)). From such results it has been concluded that futures prices provide inefficient (or biased) estimates of the futures (or spot) prices at contract maturity. In an article in this journal, Maberly (1985) disagrees with the conclusion that a^ > 0 and b < 1(where denotes an estimate) imply that futures pricing is inefficient. He argues that the empirical findings are the result of applying ordinary least squares (OLS) to censored data. He believes that an inherent restri9ion on the dependent variable in Equation (1) is responsible for a^ > 0 and
The Journal of Futures Markets – Wiley
Published: Jun 1, 1988
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