The behavioral finance literature cites the frozen concentrated orange juice (FCOJ) futures market as a prominent example of the failure of prices to reflect fundamentals. This paper reexamines the relation between FCOJ futures returns and fundamentals, focusing primarily on temperature. We show...

The behavioral finance literature cites the frozen concenated orange juice (FCOJ)futures market as a prominent example of the failure of prices to reflect fundamentals.This paper reexamines the relation between FCOJ futures returns and fundamentals,focusing primarily on temperature. We show that...

The behavioral finance literature cites the frozen concentrated orange juice (FCOJ) futures market as a prominent example of the failure of prices to reflect fundamentals. In contrast, we show that when theory clearly identifies the fundamental, e.g.,temperatures close to or below freezing,...

This paper reexamines frozen concentrated orange juice (FCOJ) futures returns as they relate to fundamentals, in particular, temperature. We show that when theory clearly identifies the fundamental, i.e., at temperatures close to or below freezing, there is a close link between FCOJ prices and...