The role of public information in the Brazilian live cattle market

• Ano de defesa: 2024
• Autor(a) principal: Rodrigues, Aline Caroline
• Tipo de documento: Tese
• Tipo de acesso: Acesso aberto
• Idioma: eng
• Instituição de defesa: Universidade Federal de Viçosa; Economia Aplicada
• Palavras-chave em Português: Carne de boi - Comercialização; Mercado futuro; Bolsa de mercadorias; GARCH (Modelo); CIENCIAS SOCIAIS APLICADAS::ECONOMIA::ECONOMIAS AGRARIA E DOS RECURSOS NATURAIS
• Link de acesso: https://locus.ufv.br/handle/123456789/32620; https://doi.org/10.47328/ufvbbt.2024.373

Commodities reports play a crucial role in access market information. In Brazil, one of the most relevant commodities is live cattle. Brazil holds significant positions in the meat market, being the largest exporter of meat, the second-largest producer, and the third-largest global consumer. The agricultural sector, particularly livestock, is a cornerstone of the Brazilian economy, contributing significantly to GDP, employment, and trade balance. The availability of information in the commodities market is critical for several reasons. First, accurate and timely information helps farmers and producers make informed decisions about production, investment, and resource allocation. Second, for traders and investors, market information reduces uncertainty, allowing for better risk management and strategic planning. Third, transparency in market information fosters trust and stability, which are essential for attracting both domestic and international investments. Considering the power of information for the market, this study focuses on analyzing the impact of information found in three national agricultural reports, Pesquisa Trimestral de Abates (IBGE), AgroConab (CONAB), and AgroMensal (CEPEA), on the formation of abnormal returns and volatility in the futures prices of Brazilian live cattle traded on the B3 Stock Exchange. Our research hypothesis was that the Brazilian cattle market is semi-efficient based on the analysis of these three public reports. Our results indicate the non-rejection of this hypothesis. Although we identified some abnormal returns, we cannot assert that they follow a consistent pattern with Fama's (1970) definition of semi-strong form efficiency. We employed the Event Study methodology, using Cumulative Abnormal Returns (CAR) and GARCH methodologies. volatility are identified, in some cases, abnormal returns are observed. Considering that the information in these reports is a public good, this research contributes to the formulation of public policies to promote and improve information disclosed in the market, ensuring that public information ensures market efficiency. Enhanced market information can lead to more efficient price discovery, reduce market distortions, and support the overall development of the agricultural sector. Keywords: Live cattle; Futures returns; Market efficiency; Agricultural reports; CAR (Cumulative abnormal returns); GARCH.