A Nonparametric Search for Information Effects from USDA Reports

Jeffrey H. Dorfman and Berna Karali

No 285795, 2013 Conference, April 22-23, 2013, St. Louis, Missouri from NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management

Abstract: The question of report value has been unsettled in the literature with results varying somewhat across studies and across reports. We employ two nonparametric tests to investigate the potential information value of USDA crop and livestock reports. If the daily returns on futures contracts differ on days with report releases when compared to non-announcement days for a sizeable number of commodities, we consider the report to contain valuable information. Results indicate value in five of the USDA reports investigated, with six other reports showing little or no information value in the markets examined. Most of our results confirm and add robustness to earlier results, but there are some differences both for certain reports and certain commodities.

Keywords: Marketing (search for similar items in EconPapers)
Date: 2013-04
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Persistent link: https://EconPapers.repec.org/RePEc:ags:n13413:285795

DOI: 10.22004/ag.econ.285795

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