ESTIMATING THE SPEED OF MARKET REACTION TO NEWS: MARKET EVENTS AND LUMBER FUTURES PRICES
Randal R. Rucker,
Walter Thurman and
Jonathan Yoder ()
No 29152, Reports from North Carolina State University, Department of Agricultural and Resource Economics
With 16 years of daily lumber futures prices, we study the effects of different types of information releases: (1) monthly housing starts estimates, (2) aperiodic administrative and judicial announcements about U.S.-Canada trade disputes, and (3) novel and unprecedented court decisions related to the Endangered Species Act (ESA). The information releases are different in ways that predict their relative speeds of impoundment in prices. We test the predictions using a new event study methodology appropriate to relatively slowly evolving information events. We find that housing starts are absorbed more quickly than trade events, which are absorbed more quickly than ESA events.
Keywords: Demand; and; Price; Analysis (search for similar items in EconPapers)
References: Add references at CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:ags:ncsure:29152
Access Statistics for this paper
More papers in Reports from North Carolina State University, Department of Agricultural and Resource Economics Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search ().