The value of public information in commodity futures markets

The Behavior of Bid‐Ask Spreads in the Electronically‐Traded Corn Futures Market

“…Research in agricultural futures markets suggests that the release of USDA reports affects price and increases volatility (Fortenbery and Sumner, 1993;Garcia et al, 1997;Isengildina-Massa et al, 2008). This increase in volatility may lead to increases in the BAS on the day of the release.…”

“…The U.S. Department of Agriculture (USDA) produces regular crop reports and supply-demand estimates. Research has demonstrated that these releases have significant impact on market price and volatility (Fortenbery and Sumner, 1993;Garcia et al, 1997;Isengildina-Massa et al, 2008). We investigate whether the release of this new public information systematically affects the BAS.…”

Are Revisions to USDA Crop Production Forecasts Smoothed?

“…In other words, USDA production reports are assumed to contain important and relevant "news." Large and significant futures price reactions after the release of USDA corn and soybean production forecasts indicate that the forecasts provide important new information to the market (e.g., Sumner and Mueller 1989;Garcia et al 1997). 8 It is interesting to note that the ␥ estimates from these regressions equal the inverse of Theil's R-ratio (Theil 1965, pp.…”

The impact of proprietary–public information on pork futures

“…An explanation of the view of market credibility must necessarily focus on the issue of risk reduction. Garcia et al (1996) reason that traders perceive the USDA reports as containing less risk. McNew and Espinosa (1994) find reduced implied volatility in corn and soybean options after release of USDA crop forecasts.…”