Surprise and dispersion: informational impact of USDA announcements
研究美国农业部公告期间玉米、小麦和大豆期货买卖价差的变化，发现公告日信息不对称显著增加，且公告前主要由投资者私人信息分歧驱动，公告后意外和分歧共同导致价差扩大。
Abstract We examine the role of information asymmetry on changes in bid‐ask spreads during major United States Department of Agriculture (USDA) announcements. Our analyses, using corn, wheat, and soybean futures, indicate that information asymmetry is significantly higher on USDA announcement days compared to nonannouncement days. We further observe that the increased information asymmetry prior to news announcements is mainly driven by the divergence in private information possessed by market participants. However, once the USDA news is released, not only the dispersion in investors’ private information but also the surprises in news announcements contribute to increased information asymmetry and widening of bid‐ask spreads.