On dynamic arbitrage pricing and information: the case of the US broiler sector

The paper investigates the nature of arbitrage price dynamics and expectati ons formation in the US broiler market. The analysis provides evidence of h eterogeneous expectations among market participants. A significant part of broiler pricing is found to be consistent with quasi-rational expectations where future prices are anticipated on the basis of their observed historic al patterns. However, most of the market is found to be associated with nai ve expectations, where future prices are anticipated on the basis of the la st observed price.