Time series methods and directed acyclic graphs are used to uncover the centre of price discovery in 10 weight/gender classes of feeder and fed cattle from cash markets in Texas, U.S.A. Heavy feeder heifers, animals sitting on a margin of feeding for meat or breeding for new stocks, are weakly exogenous in an error correction representation of these prices. Further, contemporaneous price innovations from this class of animals cause price innovations in feeder steers and lighter weight feeder heifers. Innovation accounting shows the prominent role that heavy heifers play in cattle price discovery. Copyright 2004 John Wiley & Sons, Ltd.
