The Reaction of Corn and Soybean Futures Markets to USDA Crop Progress and Condition Information

The objective of this study is to investigate the reactions of corn and soybean futures markets to crop progress and condition information of USDA's Crop Progress (CP) reports in an event study methodology over the period 1986 to 2012. Results show, first, significant differences in close-to-open return variability on report release trading days and pre- and postreport days, and second, market prices tend to react rapidly to new crop condition information in the indicated direction by changes in crop condition. Strongest market reactions for reports containing both crop progress and condition information could be found for summer months of July and August when weather conditions (precipitation and temperature) are most critical for the crop. Furthermore, the results show that the reactions of CP reports have increased over time. Overall, price reaction analyses in this study suggest that USDA's CP reports have substantial informational value.