Gordon C. Rausser, Hedging and Joint Production: Theory and Illustrations: Discussion, The Journal of Finance, Vol. 35, No. 2, Papers and Proceedings Thirty-Eighth Annual Meeting American Finance Association, Atlanta, Georgia, December 28-30, 1979 (May, 1980), pp. 498-501

13'1 rev . .:. Division of Agricultural Sciences UNIVERSITY OF~IFORNLA Working Paper No. 139 R.I>J:~ FUTURES MARKET EFFICIENCY IN THE SOYBEAN COMPLEX Gordon C. Rausser and Colin Carter GIANNINI FOUNDATION OF AGRICULTURAL. ECONOMICS L.IBRAIli'V iM· ( California Agric'u l tural ElqIeriment Station Giannini Foundation of Agricultural Economics March 1982

This study constructs dynamic welfare measures for a system of futures markets that express the allocative efficiency of a particular market as a function of its accuracy and speed of adjustment following a shock to the system. The system comprises futures prices for T-bills, exchange rates (German mark, British pound, Canadian dollar and yen), and agricultural commodities (corn, wheat, and cotton) for delivery in 1981 and 1982. The results suggest that, although agricultural, exchange, and financial markets allover-react to a disturbance, agricultural markets do so to a much greater degree. Owing to their much greater size, however, the welfare loss arising from the overshooting is likely to be much larger for interest rate and exchange markets.

THE BEHAVIOR OF COMMODITY MARKETS has been a subject of extended controversy among economists. Much of this controversy revolves around the underlying behavior of futures prices over time. A number of researchers have concluded that there are no systematic patterns to futures price behavior while others maintain that while there may be a priori reasons justifying behavior, the application of certain mechanical filter rules often leads to substantial profits which is indicative of nonrandom behavior. It is likely that professional attention in commodity markets will increase in the future given their current newsworthiness1 along with their similarity to bond markets. Recent contributions by R. Roll [23] and T. J. Sargent [25] emphasize this latter point. In fact, many of the specific theories of commodity price behavior and term structure phenomena between interest rates can be seen as special cases of a more general model of an efficient capital market. This model has also been suggested as a rationalization of the Fisherian relationship between interest rates and price changes [22]. Studies dealing with the underlying mechanism of futures price behavior include, inter alia: Cargill and Rausser [5, 6], Gray [10, 11], Hardy [12], Houthakker [13], Kendall [15], Keynes [16], Labys and Granger [17], Larson [18], Leuthold [19], Mandelbrot [20], Samuelson [24], Smidt [27], Stevenson and Bear [28], and Working [31, 32, 33]. While this list is in no way exhaustive, it does represent the broad range of studies on commodity markets. Much of the above work on commodity markets can be classified in one of three areas. First, numerous attempts [5, 6, 15, 17, 18, 19, 27, 28] have been made to test the so-called random walk model by statistical

Stigma is a negative attribute of real estate acquired by environmental contamination and reflected in its value (Elliot-Jones, 1996). Using a model of neighborhood turnover with external economies, we show that both temporary stigma and long-term stigma are possible equilibrium outcomes after the discovery and cleanup of a hazardous waste site. The existence and duration of stigma are examined using hedonic price techniques with data from housing sales prices in Dallas County, Texas. We find that results depend critically on distance from the hazardous waste site. Neighborhood turnover due to changes in the level of poverty also appears likely.

Gordon C. Rausser, J. W. Freebairn, Estimation of Policy Preference Functions: An Application to U.S. Beef Import Quotas, The Review of Economics and Statistics, Vol. 56, No. 4 (Nov., 1974), pp. 437-449