Abnormal Returns in Livestock Futures Prices Around USDA Inventory Report Releases
Schroeder, Ted; Blair, Joanne; Mintert, James; Department of Agricultural Economics, Kansas State University
Журнал:
Applied Economic Perspectives and Policy
Дата:
1990
Аннотация:
This study examines the responsiveness of futures market prices for live hogs, live cattle, and feeder cattle to economic information contained in the USDA livestock inventory reports. Event study methodology is employed to test for persistent biases in market price changes around inventory report release dates. Few significant abnormal returns are detected in livestock futures markets following the quarterly inventory report releases, suggesting that the reports do not exert a persistent downward or upward influence on futures prices. Increases in return variability around report releases suggest that the reports provide new information to the market. Sustained high variability in the live hog futures market relative to the cattle markets following report releases suggests that less information is available for the hog market.
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