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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

Abstract: 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)
Pages: 47
Date: 2001
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Persistent link: https://EconPapers.repec.org/RePEc:ags:ncsure:29152

DOI: 10.22004/ag.econ.29152

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