{"id":{"repo_id":"uiuc","oai_identifier":"oai:www.ideals.illinois.edu:2142/20633"},"canonical_url":"https://search.dev.ndltd.org/etd/uiuc/oai:www.ideals.illinois.edu:2142/20633","repository":{"repo_id":"uiuc","name":"University of Illinois - Urbana-Champaign","base_url":"https://www.ideals.illinois.edu/oai-pmh"},"display":{"title":"Commodity futures market reaction to anticipated public reports: Frozen pork bellies","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.","abstract_html":"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.","abstract_has_math":false,"creators":["Li, Yang"],"institution":"University of Illinois at Urbana-Champaign","degree_name":"Ph.D.","degree_level":"Dissertation","degree_discipline":"Agricultural and Consumer Economics","degree_department":null,"school":null,"contributors":["Garcia, Philip"],"advisors":[],"committee_chairs":[],"committee_members":[],"year":2011,"date_issued":"2011-05-07T12:44:52Z","date_published":"2011-05-07T12:44:52Z","updated_at":"2026-07-22T22:25:16Z","subjects":["Business Administration, Marketing","Economics, Agricultural"],"languages":["eng"],"rights":["Copyright 1996 Yang, Li"],"rights_urls":[],"identifier_entries":[{"key":"dc:identifier","label":"Identifier","values":["9780591199741","AAI9712492","(UMI)AAI9712492"],"render_values":[{"text":"9780591199741","href":null,"code":true},{"text":"AAI9712492","href":null,"code":true},{"text":"(UMI)AAI9712492","href":null,"code":true}]}]},"links":{"outbound_url":"http://hdl.handle.net/2142/20633","outbound_label":"Handle","outbound_source":"dc:identifier"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor","label":"Contributor","values":["Garcia, Philip"]},{"key":"dc:creator","label":"Author","values":["Li, Yang"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date","label":"Dc Date","values":["2011-05-07T12:44:52Z","10000-01-01","1996"]},{"key":"dc:type","label":"Dc Type","values":["text"]},{"key":"thesis:degree_discipline","label":"Discipline","values":["Agricultural and Consumer Economics"]},{"key":"thesis:degree_level","label":"Degree Level","values":["Dissertation"]},{"key":"thesis:degree_name","label":"Degree Name","values":["Ph.D."]},{"key":"thesis:institution_name","label":"Thesis Institution Name","values":["University of Illinois at Urbana-Champaign"]}]},{"id":"subjects_keywords","label":"Subjects and Keywords","entries":[{"key":"dc:subject","label":"Dc Subject","values":["Business Administration, Marketing","Economics, Agricultural"]}]},{"id":"language_rights","label":"Language and Rights","entries":[{"key":"dc:language","label":"Dc Language","values":["eng"]},{"key":"dc:rights","label":"Dc Rights","values":["Copyright 1996 Yang, Li"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier","label":"Identifier","values":["9780591199741","AAI9712492","(UMI)AAI9712492","http://hdl.handle.net/2142/20633"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description","label":"Description","values":["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.","Made available in DSpace on 2011-05-07T12:44:52Z (GMT). No. of bitstreams: 2 license.txt: 4922 bytes, checksum: 910b249b4beec47e7ab768910c8f966f (MD5) 9712492.pdf: 2903779 bytes, checksum: a617152a55394c7195c0e002818be11d (MD5) Previous issue date: 1996","Item marked as restricted to the 'UIUC Users [automated]' Group (id=2) by Howard Ding (hding2@illinois.edu) on 2011-05-07T14:45:13Z Item is restricted indefinitely.","Restriction data tranferred 2014-07-01T11:20:00-05:00 Original Data Group with Access UIUC Users [automated] Release Date: none Reason: ETDs are only available to UIUC Users without author permission","ETDs are only available to UIUC Users without author permission","U of I Only"]},{"key":"dc:title","label":"Title","values":["Commodity futures market reaction to anticipated public reports: Frozen pork bellies"]}]}],"canonical_facts":{"dc:contributor":["Garcia, Philip"],"dc:creator":["Li, Yang"],"dc:date":["2011-05-07T12:44:52Z","10000-01-01","1996"],"dc:description":["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.","Made available in DSpace on 2011-05-07T12:44:52Z (GMT). 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