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