THE REACTION OF LIVE HOG FUTURES PRICES TO USDA HOGS AND PIGS REPORTS

Strong concerns about how efficiently live hog futures prices react to USDA Hogs and Pigs ~eports have been raised by livestock producer groups. Using market survey data, direct tests of the'efficient markets hypothesis are . . performed for the live hog futures market. Two-limit tobit·models account for institutional price limits. Results support the effisien~ market hypothesis in that live hog futures prices: {I) do not react to anticipated changes in .. . ., rep~rted infcirmation, {2) do react significantly and in the expected direction to unanticipated changes in reported information and {3) general1y adjust to unanticipated information on the day following release of the Reports