The Returns and Forecasting Ability of Large Traders in the Frozen Pork Bellies Futures Market
Year: 1993
Type: article
Abstract: Using settlement prices and nine years of daily commitments for large reporting traders in the frozen pork bellies futures market, the authors find that these traders generate significant profits and the distribution of trader returns over time is not random. Further analysis finds that a subset of large elite traders possesses significant forecasting ability, indicating that they not only are able to consistently anticipate the direction of price changes but are also on the right side of the market when large price changes occur. Hence, certain futures market traders accumulate trading experience and knowledge, permitting them to accrue considerable wealth. Copyright 1994 by University of Chicago Press.
Authors: Leuthold, Raymond M., Garcia, Philip
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2008471652