Are Harvest Forecasts News? USDA Announcements and Futures Market Reactions
用玉米和大豆期货价格数据检验美国农业部收获预测是否包含新信息，发现公告日后价格波动显著更大，说明预测确实提供了市场未知的信息。
Abstract Futures market price data for corn and soybeans are used to examine reactions to U.S. Department of Agriculture harvest forecasts. These forecasts are widely known and reasonably accurate, so failure to find significant reaction would indicate that the USDA did not contribute additional news relative to information already possessed by traders. Various t ‐tests, F ‐tests, and nonparametric chi‐square tests indicate rejection of the null hypothesis of no significant difference between means of absolute values or variances of changes in closing prices on days following a USDA announcement and other days. Thus, the data indicate that significant information is contained in the forecasts.