Do USDA Reports Align Trader Expectations?

USDA crop and inventory reports are widely viewed as common signals that resolve uncertainty in agricultural commodity markets. We test that premise by estimating the volume–volatility elasticity around WASDE and Grain Stocks releases in the CME corn futures market using high-frequency data from 2013 to 2020. Applying the Kandel–Pearson differences-of-opinion framework as adapted by Bollerslev, Li, and Xue (2018), we estimate unconditional elasticities that are persistently below unity, consistent with incomplete post-report alignment of trader expectations. We demonstrate that two observable channels—pre-report forecast dispersion and announcement surprise relative to the pre-report consensus—account for much of this gap: when both are set to zero, the fitted elasticity is generally indistinguishable from the no-disagreement benchmark. We extend the framework in several ways, including by systematically varying the pre-event comparison window to reveal intraday heterogeneity in the elasticity. Our results are robust across report types, although key WASDE reports—which convey rich supply-side information—exhibit stronger residual disagreement that is less well explained by the two proxies alone.