The traditional necessary condition for futures market inefficiency is the existence of alternative forecasting methods that produce mean squared forecast errors smaller than the futures market. Here, a more exacting requirement for futures market efficiency is proposedforecast encompassing....

Myers and Thompson (1989) noted that the model specification could have a large impact on the hedge ratio estimated. A huge literature exists on estimating hedge ratios, but the literature is lacking a formal treatment of model specification uncertainty. This research accomplishes that task by...

This research examines the lead-lag relationships between futures prices, prices from a cash forward market, and spot prices for two forest product markets. Results suggest that for 2x4 lumber, the forward market provides some level of price discovery, but futures play a dominant price discovery...