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The Market Timing Value of Outlook Price Forecasts

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  • Irwin, Scott H.
  • Gerlow, Mary E.
  • Liu, Te-Ru

Abstract

The purpose of this study was to conduct a comprehensive evaluation of the market timing value of outlook price forecasts. One-, two-, and three-quarter ahead hog and cattle price forecasts from the four outlook programs were examined. Results of Merton market timing tests indicate that the outlook programs generally produce valuable hog price forecasts. However, the strength of the market timing value tended to diminish as the forecast horizon increased. The performance of the outlook programs in forecasting cattle prices was not as impressive.

Suggested Citation

  • Irwin, Scott H. & Gerlow, Mary E. & Liu, Te-Ru, 1991. "The Market Timing Value of Outlook Price Forecasts," 1991 Annual Meeting, August 4-7, Manhattan, Kansas 271261, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    • Handle: RePEc:ags:aaea91:271261
    DOI: 10.22004/ag.econ.271261
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    References listed on IDEAS

    as
    1. Cumby, Robert E. & Modest, David M., 1987. "Testing for market timing ability : A framework for forecast evaluation," Journal of Financial Economics, Elsevier, vol. 19(1), pages 169-189, September.
    2. Helmers, Glenn A. & Held, Larry J., 1977. "Comparison Of Livestock Price Forecasting Using Simple Techniques, Forward Pricing And Outlook Information," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 1(1), pages 1-4, June.
    3. John D. Baker & Don Paarlberg, 1952. "How Accurate is Outlook?," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 34(4), pages 509-519.
    4. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 125-132.
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    6. Richard E. Just & Gordon C. Rausser, 1981. "Commodity Price Forecasting with Large-Scale Econometric Models and the Futures Market," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 63(2), pages 197-208.
    7. Merton, Robert C, 1981. "On Market Timing and Investment Performance. I. An Equilibrium Theory of Value for Market Forecasts," The Journal of Business, University of Chicago Press, vol. 54(3), pages 363-406, July.
    8. Research Department, . "Agricultural Letter," Agricultural Letter, Federal Reserve Bank of Chicago, vol. 1957(419).
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    Keywords

    Demand and Price Analysis; Marketing;

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