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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 proposed—forecast encompassing....
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United States Department of Agriculture (USDA) livestock production forecasts are evaluated for their information content across multiple forecast horizons using the direct test developed by Vuchelen and Gutierrez (2005). Forecasts are explicitly tested for rationality (unbiased and efficient)...
Persistent link: https://www.econbiz.de/10008552272
The successful introduction of futures contracts to industries unfamiliar with futures markets is likely to become increasingly important as futures exchanges move to alternative governance structures (e.g., for-profit corporations), trading platforms evolve (i.e., electronic|Internet trading),...
Persistent link: https://www.econbiz.de/10008552291
One-step-ahead forecasts of quarterly crude oil, natural gas, electricity, and coal supplies are evaluated under two general approaches: accuracy-based measures and classification- or directional-based measures. Results suggest the U.S. Department of Energy (DOE) supply forecasts for U.S....
Persistent link: https://www.econbiz.de/10005191858
This research examines the forecasting performance of implied volatility derived from nearby live cattle options contracts in predicting 1-week volatility of nearby live cattle futures prices. Forecast evaluation is conducted from the perspective of an agribusiness risk manager. The methodology...
Persistent link: https://www.econbiz.de/10008569761
The United States Department of Energy's (DOE) quarterly price forecasts for energy commodities are examined to determine the incremental information provided at the one-through four-quarter forecast horizons. A direct test for determining information content at alternative forecast horizons,...
Persistent link: https://www.econbiz.de/10005280225
We examine the effect of a US Securities and Exchange Commission (SEC) investigation of the audit client on audit cost. Ordinary least-squares models along with a match-paired design and publicly available auditor fees data are used to analyse the relation between an SEC investigation event and...
Persistent link: https://www.econbiz.de/10010756282