We document that the stock prices of food-sector firms react to USDA news. The economic and statistical significance of the effect depends on the commodity, type of scheduled USDA report, and direction and extent to which the USDA information surprises the market. Individual stock price...

We document that the stock prices of food-sector firms react to USDA news. The economic and statistical significance of the effect depends on the commodity, type of scheduled USDA report, and direction and extent to which the USDA information surprises the market. Individual stock price...

Traditionally, a predefined surprise proxy (such as the consensus errors of analyst forecasts) is used to estimate the market impact of public announcements. We instead use the post-event price movements to tease out what the market consensus must have been, and to estimate the event-day...

For grain and oilseed futures, deliveries facilitate convergence by allowing for arbitrage between the physical commodity and the “paper” (i.e., futures) markets. A sizeable literature has looked at deliveries to answer questions about price convergence and about the value of options...

We show the importance of accounting for political risk to understand forward-looking price volatility in agricultural markets. We propose a theoretical model that shows uncertainty about the future world price of staple foods is positively related to the likelihood (and, counterintuitively, is...