This paper develops a simultaneous rational expectations model of the US live cattle spot and futures markets. The issues addressed are first, the scarcity of such models of futures markets for non-storables, and second the semi-strong efficient markets hypothesis (EMH), on which recent research for this market has been inconclusive. The model contains functional relationships for short and long hedgers, net short speculators in futures and consumers. The results suggest first, that there is support for Working's hypotheses of selective and operational hedging, for short and long hedgers respectively, second that speculators may be noise traders or risk-loving, and third that beef is a normal good while corn is a complementary input. Timevarying volatility is represented as an EGARCH (p,q) process. Post-sample, this model does not significantly outperform the futures price in spot price forecasting, implying non-rejection of the EMH.