Price discovery in a private cash forward market for lumber

Beveridge, 1994, A comparison of Box–Jenkins and objective methods for determining the order of a non-seasonal ARMA model, Journal of Forecasting, 13, 419, 10.1002/for.3980130502 De Long, 1990, Noise trader risk in financial markets, Journal of Political Economy, 98, 703, 10.1086/261703 Food and Agricultural Organization, 2005. United Nations, FAOSTAT Data, accessed November 2005. Fortenbery, 1997, An evaluation of price linkages between futures and cash markets for cheddar cheese, The Journal of Futures Markets, 17, 279, 10.1002/(SICI)1096-9934(199705)17:3<279::AID-FUT2>3.0.CO;2-F French, 1983, A comparison of futures and forward prices, The Journal of Financial Economics, 12, 311, 10.1016/0304-405X(83)90052-1 Granger, 1969, Investigating causal relations by econometric models and cross-spectral methods, Econometrica, 37, 424, 10.2307/1912791 Hamilton, 1994 He, D., Holt, M., 2004. Efficiency of forest commodity futures markets. In: Meetings of the American Agricultural Economics Association – Selected Paper, August 2004. Koontz, 1990, Dominant-satellite relationships between live cattle cash and futures markets, The Journal of Futures Markets, 10, 123, 10.1002/fut.3990100204 Krogmeier, 1997, An experimental economics approach to analyzing price discovery in forward and spot markets, Journal of Agricultural and Applied Economics, 29, 327, 10.1017/S1074070800007823 Leuthold, 1989 Mahenc, 2003, Forward markets and signals of quality, The Rand Journal of Economics, 34, 478, 10.2307/1593742 Mahenc, 2004, Softening competition through forward trading, Journal of Economic Theory, 116, 282, 10.1016/j.jet.2003.07.009 McKenzie, 2004, The performance of event study approaches using daily commodity futures returns, The Journal of Futures Markets, 24, 533, 10.1002/fut.10126 Menkhaus, 2003, Price discovery in private negotiation trading with forward and spot deliveries, Review of Agricultural Economics, 25, 89, 10.1111/1467-9353.00047 Oellermann, 1985, Futures or cash: which market leads live beef cattle prices?, The Journal of Futures Markets, 5, 529, 10.1002/fut.3990050404 Park, 1985, Differences between futures and forward prices: a further investigation into the marketing-to-market effects, The Journal of Futures Markets, 5, 77, 10.1002/fut.3990050108 Pindyck, 1998 Rucker, R.R., Thurman, W.N., Yoder, J.K., 2001. Estimating the Speed of Market Reaction to News: Market Events and Lumber Futures Prices. Department of Agricultural and Resource Economics Report #21, North Carolina State University, May 2001. Sanders, 2000, Noise trader sentiment in futures markets, 86 Sun, 2001, Assessing the financial performance of forestry-related investment vehicles: capital asset pricing model vs. arbitrage pricing theory, American Journal of Agricultural Economics, 83, 617, 10.1111/0002-9092.00182 Veld-Merkoulova, 2003, Hedging long-term commodity risk, The Journal of Futures Markets, 23, 109, 10.1002/fut.10060 Wang, 2002, Testing for efficiency and rationality in foreign exchange markets – a review of the literature and research on foreign exchange market efficiency and rationality with comments, Journal of International Money and Finance, 21, 223, 10.1016/S0261-5606(01)00042-0 Yang, 1999, Price discovery in wheat futures markets, Journal of Agricultural and Applied Economics, 31, 359, 10.1017/S1074070800008634 Zhou, 2005, Price transmission between products at different stages of manufacturing in forest industries, Journal of Forest Economics, 11, 5, 10.1016/j.jfe.2005.02.002