A Nonparametric Search for Information Effects from USDA Reports

Two nonparametric tests are employed to investigate the potential information value of USDA crop 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 a set 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 somewhat across studies and across reports. This study finds market-moving value in five of the USDA reports investigated, with six other reports showing little or no market-moving value in the markets examined. While most of our results confirm and add robustness to earlier results, there are some differences both for certain reports and certain commodities.