A Nonparametric Search for Information Effects from USDA Reports

Jeffrey Dorfmann and Berna Karali

Journal of Agricultural and Resource Economics, 2015, vol. 40, issue 01, 20

Abstract: Two nonparametric tests are employed to investigate the potential information value of USDA crop and livestock reports. If daily returns on days that reports are released (announcement days) differ when compared to non-announcement days for a sizeable number of commodities from a set of seven futures markets studied, we deem the report to contain market-moving information. The question of report value has been unsettled in the literature with results varying somewhat across studies and across reports. This study finds market-moving value in five of the USDA reports investigated, with six other reports showing little or no market-moving value in the markets examined. While most of our results confirm and add robustness to earlier results, there are some differences both for certain reports and certain commodities.

Keywords: Agribusiness; Agricultural Finance (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16)

Downloads: (external link)
https://ageconsearch.umn.edu/record/197380/files/J ... orfman_pp124-143.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ags:jlaare:197380

DOI: 10.22004/ag.econ.197380

Access Statistics for this article

More articles in Journal of Agricultural and Resource Economics from Western Agricultural Economics Association Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search ().