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The Information Content of The WASDE Report and Intra-Day Price Reactions

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  • Anderson, Andrew E.
  • McKenzie, Andrew
  • Noyes, Emmie

Abstract

An important role of the futures market is to synthesis information into price signals. The efficient market hypothesis predicts that information will be incorporated into the futures price instantly and there will be no opportunity for arbitrage. This study aims to test this immediacy assertion in agricultural commodity markets after the release of the World Agricultural Supply and Demand Estimates (WASDE) report. We leverage intra-day futures price data for corn and soybeans in an event study framework to estimate price reactions at progressively larger intervals from the report release time. We find significant and directionally appropriate price reactions 30 minutes after the report release time. Further, we find that the price reaction for soybeans continues to increase after 30 minutes. These results have implications for understanding market efficiency. This information may also be useful for traders to develop profitable strategies around report releases.

Suggested Citation

Handle: RePEc:ags:nccc24:379003
DOI: 10.22004/ag.econ.379003
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