Live Cattle Futures Response to Cattle on Feed Reports

Knight-Ridder surveys provide prerelease expectations of the information in the Cattle on Feed reports. The Knight-Ridder information is employed here, in accordance with the efficient markets hypothesis, to identify the unanticipated information provided in Cattle on Feed reports. Rational expectations theory is used to test Knight-Ridder forecasts for unbiasedness, efficiency, and forecast performance. The forecasts mostly satisfy rationality conditions. Live cattle futures prices respond to unanticipated information about placements and marketings contained in Cattle on Feed releases. However, report information is absorbed quickly.