The impact of proprietary&amp;ndash;public information on pork futures

Mann, Thomas L.; Dowen, Richard J.

doi:10.1002/(sici)1096-9934(199706)17:4<417::aid-fut3>3.0.co;2-k

Cited by 13 publications

(6 citation statements)

References 17 publications

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“…Earlier research has shown that government reports impact livestock markets. These studies have addressed whether the reports contain unanticipated information and if livestock futures markets react efficiently to new information (Koontz et al 1984; Colling & Irwin 1990; Schroeder et al 1990; Schaefer et al, 2004; Grunewald et al 1993; Carter & Galopin 1993; Mann & Dowen 1996, 1996; Mann & Dowen 1997; Isengildina‐Massa et al, 2006). Two general conclusions of these studies are that statistically large futures price movements are often observed following the report release dates and futures markets appear to be efficient at impounding the new information.…”

Section: Short‐term Hedging Pressures Around Cattle On Feed Reportsmentioning

confidence: 99%

Characterizing implied volatility functions from agricultural options markets

McKenzie¹,

Thomsen

Adjemian

2022

American J Agri Economics

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We provide the first comprehensive characterization and comparison of implied volatility functions for five major agricultural options markets-corn, soybeans, soft red winter wheat, live cattle, and feeder cattle-using intraday tick data. Our results show that cattle markets exhibit a distinct leftward skew, which is puzzling and indicates that out-of-the-money traded put options are theoretically overpriced. In contrast, we find that grain market implied volatility functions display a flatter, less pronounced smile pattern. We examine market sentiment induced shortterm hedging pressures using Commodity Futures Trading Commission reports, and market uncertainty around Cattle on Feed reports, as potential causes of the cattle markets skew. However, our results show that the explanatory power of our short-term hedging pressure proxies are only helpful in isolated cases but overall cannot explain the large skews we observe in cattle markets.

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Section: Short‐term Hedging Pressures Around Cattle On Feed Reportsmentioning

confidence: 99%

Characterizing implied volatility functions from agricultural options markets

McKenzie¹,

Thomsen

Adjemian

2022

American J Agri Economics

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“…Colling et al (1997) found that nearby pork belly and live hog futures prices significantly reacted to unanticipated information in the Cold Storage report. Mann and Dowen (1997) found that live hog futures markets significantly reacted (in both volatility and trading volume) to information contained in Hogs and Pigs report releases but not to the private expectations contained in Knight-Rider surveys released a few days earlier and concluded that market participants likely believed Hogs and Pigs reports to be more credible. Garcia et al (1997) conducted several tests to infer the informational value of USDA corn and soybean crop production reports.…”

Section: Instrumental Variable Correction For Measurement Errors In M...mentioning

confidence: 99%

What do we know about the value and market impact of the US Department of Agriculture reports?

Massa,

Karali,

Irwin

2023

Applied Eco Perspectives Pol

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The purpose of this paper is to comprehensively review the literature on the value and impact of the US Department of Agriculture (USDA) reports and discuss theoretical issues and empirical evidence. Only a handful of studies provide direct estimates of the welfare benefits of USDA information using a rational expectations framework in storable commodity markets. Most studies examine partial evidence of welfare benefits associated with market response to USDA information. These studies include examinations of the impacts of USDA report releases on cash and futures price volatility and other market dynamics, impacts of report releases on options implied volatility, impacts of unanticipated information in USDA reports, as well as informational value, returns, and survey‐based studies. We discuss the methodological and empirical contributions of these studies as well as their shortcomings and potential opportunities for future work.

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“…All dates on which more than one different type of announcement occurred are eliminated from the sample for robustness. 11…”

Section: Trading Of Emission Allowance Futures Contracts Is Pri-mentioning

confidence: 99%

“…The first consists of estimating the abnormal returns as coefficients of the dummy variables that correspond to event days in a regression (see Lusk and Schroeder (2002) and Simpson and Ramchander (2004), among others). The second approach is the Constant Mean Return model that measures the abnormal returns from a benchmark period (see Mann and Dowen (1997) and Tse and Hackard (2006), among others). In this study, we follow these two approaches when applying statistical event study methodology using daily carbon futures returns.…”

Section: Introductionmentioning

confidence: 99%

The Impact of European Union Emissions Trading Scheme (EU ETS) National Allocation Plans (NAP) on Carbon Markets

Lepone¹,

Rahman²,

Yang³

2011

LCE

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This paper empirically examines the extent to which participants in the carbon market perceive EU ETS NAP and Verifications announcements to possess informational value. The study directs its attention to carbon returns and volatility movements around official EU ETS PHASE II announcements. Following Mansanet-Bataller and Pardo (2007), we adapt an event study methodology which caters for the peculiarities of our data, using a Regression and Truncated Mean Model approach. Further, we source the earliest date a certain announcement is publicly released from both official and news sources, and examine both Phase I & II front futures and sole Phase II prices. We find that Phase II announcements have an influence on both Phase I & II front futures and sole Phase II futures carbon returns. In addition, we find that the announcements have no significant impact on volatility. Together, the findings suggest a systematic leakage of information across all types of announcements, consistent with Mansanet-Bataller & Pardo (2007)

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The impact of proprietary–public information on pork futures

Cited by 13 publications

References 17 publications

Characterizing implied volatility functions from agricultural options markets

Characterizing implied volatility functions from agricultural options markets

What do we know about the value and market impact of the US Department of Agriculture reports?

The Impact of European Union Emissions Trading Scheme (EU ETS) National Allocation Plans (NAP) on Carbon Markets

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