Trading Based on Knowing the Wasde Report in Advance

Milacek, Trent T.; Brorsen, B. Wade

doi:10.1017/aae.2017.8

Cited by 3 publications

(2 citation statements)

References 14 publications

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“…Our findings are consistent with previous research that has identified the importance of WASDE reports using different procedures in a variety of markets (Adjemian, 2012;Milacek and Brorsen, 2017). These studies have essentially inferred USDA reports have value from volatility responses, which relies on the assumption of market efficiency in adjusting to new information in short intervals.…”

Section: Discussionsupporting

confidence: 92%

The Value of USDA Announcements in the Electronically Traded Corn Futures Market: A Modified Sufficient Test with Risk Adjustments

Huang¹,

Serra²,

Garcia³

2021

J Agricultural Economics

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The paper assesses the value of USDA information in the electronic corn futures markets. While recent research has documented large price volatility spikes after USDA announcements, increased volatility does not directly translate into value. Using multiple newly developed risk-premium measures and intraday data, we extend the Carter and Galopin approach based on estimating the risk-adjusted profits that accrue to advanced USDA information. Using the 2010-2020 period, the analysis demonstrates that USDA announcement surprises have economic value, with WASDE surprises from NASS-WASDE joint events being always valuable under all risk preferences. While the value is sensitive to these preferences, risk is relatively small because prices usually move in the direction of the market surprise which minimises losses. NASS surprises also contain value, though less than WASDE and only for the less risk averse traders. While overall risk is generally small, the intensified volatility right after the announcement points to the presence of noise and to the inadequacy of inferring the value of public information through price variability alone.

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Section: Discussionsupporting

confidence: 92%

The Value of USDA Announcements in the Electronically Traded Corn Futures Market: A Modified Sufficient Test with Risk Adjustments

Huang¹,

Serra²,

Garcia³

2021

J Agricultural Economics

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“…McKenzie (2008) used a Hamilton‐type (1992) approach to demonstrate that “there were periods when having advanced knowledge of the August report would have significantly adjusted rational agent expectations, augmenting information already embodied in futures prices” (p. 365). Milacek and Brorsen (2017) developed trading models based on knowing the WASDE report in advance to estimate potential trading returns from using WASDE report predictions in the days before the report. Their findings reveal that the perfect foresight trading signal generated an average daily return of 1.11 cents per bushel for corn with July, September, and October reports generating the highest returns.…”

Section: Indirect Measures Based On Informational Value Trading Retur...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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Forecasting the U.S. season-average farm price of corn: Derivation of an alternative futures-based forecasting model

Etienne

Farhangdoost

Hoffman

et al. 2023

Journal of Commodity Markets

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Trading Based on Knowing the Wasde Report in Advance

Cited by 3 publications

References 14 publications

The Value of USDA Announcements in the Electronically Traded Corn Futures Market: A Modified Sufficient Test with Risk Adjustments

The Value of USDA Announcements in the Electronically Traded Corn Futures Market: A Modified Sufficient Test with Risk Adjustments

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

Forecasting the U.S. season-average farm price of corn: Derivation of an alternative futures-based forecasting model

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