Do asset prices reflect fundamentals? Freshly squeezed evidence from the OJ market

• 成果类型: Article
• 署名作者: Boudoukh, Jacob; Richardson, Matthew; Shen, YuQing (Jeff); Whitelaw, Robert F.
• 署名单位: New York University; Reichman University; National Bureau of Economic Research; Barclays
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2004.06.017
• 发表日期: 2007
• 页码: 397-412
• 关键词: Market efficiency; excess volatility; state dependence; nonlinearity

摘要

The behavioral finance literature cites the frozen concentrated orange juice (FCOJ) futures market as a prominent example of the failure of prices to reflect fundamentals. In contrast, we show that when theory clearly identifies the fundamental, e.g., at temperatures close to or below freezing, a close link exists between FCOJ prices and that fundamental. Using a simple, theoretically motivated, nonlinear, state dependent model, we can explain approximately 50% of the return variation on days with freezing temperatures. Moreover, while these observations represent less than 4.5% of the winter sample, they account for two-thirds of the entire winter return variability. (c) 2006 Elsevier B.V. All rights reserved.