Are hog and pig reports informative?

Delivery horizon and grain market volatility

“…Another approach used in the literature is to construct separate time series of futures prices by delivery horizon: first nearby, second nearby, etc. Colling and Irwin (1990) and Mann and Dowen (1996) study the effects of USDA Hogs and Pigs Reports on the near and distant live hog futures contracts. Schaefer, Myers, and Koontz (2004) analyze the nearby, first deferred, and second deferred live cattle futures contracts to analyze the efficiency of the market.…”

The impact of proprietary–public information on pork futures

“…Many studies also document that changes in the level of trading volume provide evidence of information processing by investors [e.g., Beaver (1968); Foster (1973); Morse (1981); Karpoff (1987);French, Leftwich, and Urhig (1989); and Mann and Dowen (1996a)]. Volume is thought to reflect changes in individual trader expectations.…”

“…Schroeder, Blair, and Mintert (S-B-M) (1990) find no significant abnormal returns in live hog, live cattle, and feeder cattle markets following quarterly inventory releases. Mann and Dowen (1996a) find increased price variance and trading volume after release of an HPR indicating new information arriving in the live hog futures and frozen pork belly futures markets. Using a different criterion, Carter and Galopin (1993) find that HPRs do not contain new information.…”

“…Many studies point to information arrival by an increase in price dispersion after the event, e.g., French, Leftwich, and Urhig (1989), Sumner and Mueller (1989), Fortenberry and Sumner (1993), and Mann and Dowen (1996a). If new information changes investor beliefs, then a measure of the impact is the magnitude of price change.…”

Differences in opinions and the volatility‐volume relationship on the Tokyo Grain Exchange

“…For instance, Milonas (1987), Fortenbery and Sumner (1993) and Garcia et al (1997) have all found the corn futures price changes to be unusually large following the overnight release of USDA estimates of the corn crop. Moreover, Mann and Dowen (1996) have found increases in volume in the live hog and frozen pork belly futures markets following USDA reports. In the corn futures market, Garcia et al (1986) and Malliaris and Urrutia (1998) have documented lead-lag relationships between volume and volatility.…”