期刊名称：Journal of Agricultural and Resource Economics
印刷版ISSN：1068-5502
出版年度：2015
卷号：40
期号：1
页码：124-143
出版社：WAEA
摘要：Two nonparametric tests are employed to investigate the potential information value of USDAcrop and livestock reports. If daily returns on days that reports are released (announcement days)differ when compared to non-announcement days for a sizeable number of commodities from aset of seven futures markets studied, we deem the report to contain market-moving information.The question of report value has been unsettled in the literature with results varying somewhatacross studies and across reports. This study finds market-moving value in five of the USDAreports investigated, with six other reports showing little or no market-moving value in the marketsexamined. While most of our results confirm and add robustness to earlier results, there are somedifferences both for certain reports and certain commodities.
关键词：futures markets; information value; nonparametric tests; USDA reports
