The objective of this study is to investigate how professional traders in futures and options markets behave under risk and uncertainty. Our preliminary findings suggest that most traders exhibit concave utility functions for gains and convex utility functions for losses, while their weighting...

The marginal forecast information contained in deferred futures prices is evaluated using the direct test of Vuchelen and Gutierrez. In particular, the informational role of deferred futures contracts in live cattle and hogs is assessed from the two- to twelve-month horizons. The results...

Estimation of liquidity costs in agricultural futures markets is challenging because bid-ask spreads are usually not observed. Spread estimators that use transaction data are available, but little agreement exists on their relative accuracy and performance. We evaluate four conventional and a...

We re-assess the effect of new information contained in the Hogs and Pigs Reports (HPR) focusing on the rationality of the announcements. We find that HPR preliminary numbers are irrational estimates of the final numbers and market expectations before the announcements are also irrational...