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A Nonparametric Search for Information Effects from USDA Reports

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  • Dorfman, Jeffrey H.
  • Karali, Berna

Abstract

The question of report value has been unsettled in the literature with results varying somewhat across studies and across reports. We employ two nonparametric tests to investigate the potential information value of USDA crop and livestock reports. If the daily returns on futures contracts differ on days with report releases when compared to non-announcement days for a sizeable number of commodities, we consider the report to contain valuable information. Results indicate value in five of the USDA reports investigated, with six other reports showing little or no information value in the markets examined. Most of our results confirm and add robustness to earlier results, but there are some differences both for certain reports and certain commodities.

Suggested Citation

  • Dorfman, Jeffrey H. & Karali, Berna, 2013. "A Nonparametric Search for Information Effects from USDA Reports," 2013 Conference, April 22-23, 2013, St. Louis, Missouri 285795, NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    • Handle: RePEc:ags:n13413:285795
    DOI: 10.22004/ag.econ.285795
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    References listed on IDEAS

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    1. Andrew M. McKenzie, 2008. "Pre-Harvest Price Expectations for Corn: The Information Content of USDA Reports and New Crop Futures," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 90(2), pages 351-366.
    2. Schnake, Kristin N. & Karali, Berna & Dorfman, Jeffrey H., 2012. "The Informational Content of Distant-Delivery Futures Contracts," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 37(2), pages 1-15, August.
    3. Pesaran, M Hashem & Timmermann, Allan, 1992. "A Simple Nonparametric Test of Predictive Performance," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(4), pages 561-565, October.
    4. Thomas L. Mann & Richard J. Dowen, 1996. "Are hog and pig reports informative?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 16(3), pages 273-287, May.
    5. repec:cup:jagaec:v:40:y:2008:i:1:p:89-103_6 is not listed on IDEAS
    6. T. Randall Fortenbery & Daniel A. Sumner, 1993. "The effects of USDA reports in futures and options markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 13(2), pages 157-173, April.
    7. Good, Darrel L. & Irwin, Scott H. & Isengildina, Olga, 2006. "The Value of USDA Situation and Outlook Information in Hog and Cattle Markets," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 31(2), pages 1-21, August.
    8. Phil L. Colling & Scott H. Irwin, 1990. "The Reaction of Live Hog Futures Prices to USDA Hogs and Pigs Reports," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 72(1), pages 84-94.
    9. Irwin, Scott H. & Good, Darrel L. & Gomez, Jennifer K., 2001. "The Value Of Usda Outlook Information: An Investigation Using Event Study Analysis," 2001 Conference, April 23-24, 2001, St. Louis, Missouri 18948, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    10. Isengildina-Massa, Olga & Irwin, Scott H. & Good, Darrel L. & Gomez, Jennifer K., 2008. "The Impact of Situation and Outlook Information in Corn and Soybean Futures Markets: Evidence from WASDE Reports," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 40(1), pages 89-103, April.
    11. Pesaran, M. Hashem & Timmermann, Allan G., 1994. "A generalization of the non-parametric Henriksson-Merton test of market timing," Economics Letters, Elsevier, vol. 44(1-2), pages 1-7.
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    Cited by:

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