Files in this item



application/pdf9712492.pdf (3MB)Restricted to U of Illinois
(no description provided)PDF


Title:Commodity futures market reaction to anticipated public reports: Frozen pork bellies
Author(s):Li, Yang
Doctoral Committee Chair(s):Garcia, Philip
Department / Program:Agricultural and Consumer Economics
Discipline:Agricultural and Consumer Economics
Degree Granting Institution:University of Illinois at Urbana-Champaign
Subject(s):Business Administration, Marketing
Economics, Agricultural
Abstract:This study investigates the reaction of the frozen pork bellies futures market to the release of inventory information. Knight-Ridder releases their analysts' forecasts of the USDA estimate two days prior to the estimate provided by the USDA. A rational expectations model is developed to study how futures markets react to the information release. The model provides a direct link between analysts' forecasts. the USDA estimate, traders' beliefs of the frozen pork bellies inventories in storage, unanticipated information contained in the USDA report, and price movements. It differs from previous models used in commodity markets as price reactions depend on both the information content of the difference between the USDA estimate and the average of the analysts' forecasts, and the dispersion among the analysts' forecasts. It is shown theoretically that previous studies of price reaction based solely on the information content of the difference between the USDA estimate and the average of analysts' forecasts may induce measurement error when the magnitude of the disagreement among analysts is large and the performance of the average of forecasts is poor. Empirical results show that the USDA Cold Storage report contributes additional information to the price discovery process. However, the evidence supporting the importance of incorporating the dispersion of analysts' forecasts is mixed. When analysts' forecasts are an unbiased estimate of the USDA report and the disagreement among analysts is small, measurement error is small.
Issue Date:1996
Rights Information:Copyright 1996 Yang, Li
Date Available in IDEALS:2011-05-07
Identifier in Online Catalog:AAI9712492
OCLC Identifier:(UMI)AAI9712492

This item appears in the following Collection(s)

Item Statistics