Sanders, Dwight R.; Irwin, Scott H.; Merrin, Robert P. - In: Journal of Agricultural and Resource Economics 34 (2009) 2
The forecasting content of the Commodity Futures Trading Commission’s Commitments of Traders (COT) report is investigated. Bivariate Granger causality tests show very little evidence that traders’ positions are useful in forecasting (leading) returns in 10 agricultural futures...
