Forecasting performance of December corn and November soybean futures contracts during the previous spring was evaluated using the commonly specified price‐level and percent‐change models. These models invoke different assumptions regarding stationarity. Using Stein's analytical framework,...

This paper contributes to the debate on whether pre-harvest pricing strategies can improve returns over cash sales at harvest. It also examines cash flow needs of such strategies. The analysis is conducted for Ohio corn produced from 1986 through 1999. The pre-harvest strategies evaluated (short...

Recent changes in farm policy have renewed interest in using marketing strategies based on futures and options markets to enhance the income of field crop producers. This article reviews the literature surrounding the dominant academic theory of the behavior of futures and options markets, the...

This study examines whether mean reversion is present in corn, soybean, wheat, live hog, and live cattle futures prices. Consistent with earlier studies, asymptotic regression results provide substantial evidence of mean reversion in commodity futures price movements. In sharp contrast, the...

An event study is conducted of the informational content of US Department of Agriculture's Cold Storage report of pork bellies over the period January 1989 to December 1992. Analysis of Knight-Ridder's composite forecast derived from its pre-release survey of market analysts indicates it is a...