Rucker, Randal R.; Thurman, Walter N.; Yoder, Jonathan K. - In: American Journal of Agricultural Economics 87 (2005) 2, pp. 482-500
We develop a new event-study technique, the distributional event response model (DERM), appropriate to relatively slowly evolving information events. We apply the model to twelve years of daily lumber futures prices and analyze the effects of three different types of information releases: ("a")...
