Are harvest forecasts news? USDA announcements and futures market reactions

Sumner, D A and Mueller , R A E (1989) Are harvest forecasts news? USDA announcements and futures market reactions. American Journal of Agricultural Economics, 71 (1). pp. 1-8. ISSN 0002-9092

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Abstract

Futures market price data for maize and soyabeans are used to examine reactions to US Department of Agriculture harvest forecasts. These forecasts are widely known and reasonably accurate, so failure to find significant reaction would indicate that the USDA did not contribute additional news relative to information already possessed by traders. Various t-tests, f-tests, and nonparametric chi-square tests indicate rejection of the null hypothesis of no significant difference between means of absolute values or variances of changes in closing prices on days following a USDA announcement and other days. Thus, the data indicate that significant information is contained in the forecasts

Item Type:	Article
Divisions:	UNSPECIFIED
CRP:	UNSPECIFIED
Uncontrolled Keywords:	announcement effects, futures markets, harvest forecasts, information
Subjects:	Others
Depositing User:	Mr B K Murthy
Date Deposited:	07 Jul 2014 10:46
Last Modified:	07 Jul 2014 10:46
URI:	http://oar.icrisat.org/id/eprint/8147
Official URL:	http://dx.doi.org/10.2307/1241769
Projects:	UNSPECIFIED
Funders:	UNSPECIFIED
Acknowledgement:	UNSPECIFIED
Links:	Google Scholar

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