Estimating the Structure of Market Reaction to News: Information Events and Lumber Futures Prices
提出一种新的事件研究技术（DERM），适用于信息缓慢演变的事件，并应用于木材期货价格，分析三类信息发布（住房开工、贸易争端、濒危物种法案）对价格吸收速度的影响。
Abstract 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 ) monthly housing starts estimates, ( b ) aperiodic administrative and judicial announcements about U.S.‐Canada trade disputes, and ( c ) novel and unprecedented court decisions related to the Endangered Species Act (ESA). The information releases are different in ways that predict their relative speeds of impoundment in prices. We find that housing start events are absorbed more quickly than trade events, which are absorbed more quickly than ESA events.