EconPapers    
Economics at your fingertips  
 

Surprise and dispersion: informational impact of USDA announcements

Adrian Fernandez‐Perez, Bart Frijns (), Ivan Indriawan and Alireza Tourani‐Rad

Agricultural Economics, 2019, vol. 50, issue 1, 113-126

Abstract: We examine the role of information asymmetry on changes in bid‐ask spreads during major United States Department of Agriculture (USDA) announcements. Our analyses, using corn, wheat, and soybean futures, indicate that information asymmetry is significantly higher on USDA announcement days compared to nonannouncement days. We further observe that the increased information asymmetry prior to news announcements is mainly driven by the divergence in private information possessed by market participants. However, once the USDA news is released, not only the dispersion in investors’ private information but also the surprises in news announcements contribute to increased information asymmetry and widening of bid‐ask spreads.

Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://doi.org/10.1111/agec.12470

Related works:
Working Paper: Surprise and Dispersion: Informational Impact of USDA Announcements (2017) Downloads
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:bla:agecon:v:50:y:2019:i:1:p:113-126

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0169-5150

Access Statistics for this article

Agricultural Economics is currently edited by W.A. Masters and G.E. Shively

More articles in Agricultural Economics from International Association of Agricultural Economists Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().

 
Page updated 2020-09-08
Handle: RePEc:bla:agecon:v:50:y:2019:i:1:p:113-126