Commodity Futures Market Reaction to Anticipated Public Reports: Frozen Pork Bellies

Li Yang

No 285673, 1981-1999 Conference Archive from NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management

Abstract: This paper investigates the reaction of the frozen pork bellies futures market to the release of inventory information. Knight-Ridder releases their analysts' forecasts two days prior to the estimates provided by USDA. The model provides a direct link between analysts' forecasts, the USDA estimates, and traders' beliefs on the frozen pork bellies inventories in storage. It differs from previous studies in that the price reaction depends on the information content of the difference between the USDA estimates and the analysts' forecasts, and on the dispersion among the analysts' forecasts. It is shown that empirical tests based solely on the information content of the forecasts induce possible measurement error and result in the biased findings.

Keywords: Marketing (search for similar items in EconPapers)
Date: 1996-04
References: Add references at CitEc
Citations:

Downloads: (external link)
https://ageconsearch.umn.edu/record/285673/files/confp7-96.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:nc8191:285673

DOI: 10.22004/ag.econ.285673

Access Statistics for this paper

More papers in 1981-1999 Conference Archive from NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management
Bibliographic data for series maintained by AgEcon Search ().