The paper studies forecasts of U.S. hog and cattle prices provided by both a commodity expert and organized futures markets. Some have argued that futures prices should be efficient forecasts of actual cash prices. We show that cattle futures prices are outperformed by the expert; for hogs, futures prices and the expert are about equal. Analysis of a vector autoregression of the expert's forecasts, the futures prices, and actual cash prices, supports the finding that cattle futures prices are not an efficient forecast of actual cash prices. Differing supply dynamics may account for the difference. 1992.
