USDA reports affect the stock market, too

IF 3.7 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets Pub Date : 2024-02-06 DOI:10.1016/j.jcomm.2024.100384

An N.Q. Cao , Thomas Heckelei , Octavian Ionici , Michel A. Robe

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引用次数: 0

Abstract

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 responses to USDA news differ between firms on the input-side vs. firms on the output-side of agricultural (farm) production, based on which component of the firm's cash-flow expectations (costs or revenues) and which variable (commodity price or expected firm output) is impacted by the news. Planted Area surprises have the largest effect for both subsets of firms (ag-as-inputs and ag-as-output), followed by Grain Stocks news—with the effects having the expected sign. In contrast, WASDE surprises have very modest and mixed impacts on food-sector stock returns. Our findings establish that USDA announcements have an impact well beyond their recognized relevance to commodity markets.

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美国农业部报告也影响股市

我们记录了食品行业公司的股票价格对美国农业部新闻的反应。这种影响的经济和统计意义取决于商品、美国农业部预定报告的类型以及美国农业部信息给市场带来惊喜的方向和程度。农业（农场）生产的投入方企业与产出方企业对美国农业部消息的个别股价反应有所不同，这取决于企业现金流预期的哪个部分（成本或收入）以及哪个变量（商品价格或企业预期产出）受到该消息的影响。种植面积意外事件对两个企业子集（作为投入的农业和作为产出的农业）的影响最大，其次是谷物库存新闻--其影响具有预期的符号。相比之下，WASDE 意外事件对粮食行业股票回报的影响非常有限，而且好坏参半。我们的研究结果表明，美国农业部公告的影响远远超出了其与商品市场的公认相关性。

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来源期刊

Journal of Commodity Markets Multiple-

CiteScore

5.70

自引率

2.40%

发文量

期刊介绍： The purpose of the journal is also to stimulate international dialog among academics, industry participants, traders, investors, and policymakers with mutual interests in commodity markets. The mandate for the journal is to present ongoing work within commodity economics and finance. Topics can be related to financialization of commodity markets; pricing, hedging, and risk analysis of commodity derivatives; risk premia in commodity markets; real option analysis for commodity project investment and production; portfolio allocation including commodities; forecasting in commodity markets; corporate finance for commodity-exposed corporations; econometric/statistical analysis of commodity markets; organization of commodity markets; regulation of commodity markets; local and global commodity trading; and commodity supply chains. Commodity markets in this context are energy markets (including renewables), metal markets, mineral markets, agricultural markets, livestock and fish markets, markets for weather derivatives, emission markets, shipping markets, water, and related markets. This interdisciplinary and trans-disciplinary journal will cover all commodity markets and is thus relevant for a broad audience. Commodity markets are not only of academic interest but also highly relevant for many practitioners, including asset managers, industrial managers, investment bankers, risk managers, and also policymakers in governments, central banks, and supranational institutions.