Efficiency in the Atlantic salmon futures market

Abstract

In this study, we examine the efficiency and unbiasedness of Atlantic salmon futures prices. Market participants use the Fish Pool futures market to hedge the increasingly volatile salmon spot price. We further examine the futures market's predictive accuracy, comparing it to a variety of proprietary prediction models. Our results show that futures prices are efficient and unbiased in the long-run, while being biased and inefficient in the short-run. Moreover, we find that futures prices provide an adequate price discovery function for most contracts, while suffering from magnified risk premiums due to few noncommercial traders.