Estimating the Structure of Market Reaction to News: Information Events and Lumber Futures Prices

Posted: 19 Dec 2005

See all articles by Randal R. Rucker

Randal R. Rucker

Montana State University - Bozeman - Department of Agricultural Economics and Economics

Walter N. Thurman

North Carolina State University; PERC - Property and Environment Research Center

Jonathan Yoder

Washington State University - School of Economic Sciences

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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.

Keywords: event studies, futures, lumber markets

Suggested Citation

Rucker, Randal R. and Thurman, Walter N. and Yoder, Jonathan, Estimating the Structure of Market Reaction to News: Information Events and Lumber Futures Prices. American Journal of Agricultural Economics, Vol. 87, No. 2, pp. 482-500, May 2005, Available at SSRN: https://ssrn.com/abstract=856506 or http://dx.doi.org/10.1111/j.1467-8276.2005.00736.x

Randal R. Rucker (Contact Author)

Montana State University - Bozeman - Department of Agricultural Economics and Economics ( email )

Bozeman, MT 59717-2920
United States
406-994-5644 (Phone)
406-994-4838 (Fax)

Walter N. Thurman

North Carolina State University ( email )

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PERC - Property and Environment Research Center

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Jonathan Yoder

Washington State University - School of Economic Sciences ( email )

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Hulbert Hall 101
Pullman, WA 99164-6210
United States

HOME PAGE: http://www.ses.wsu.edu/people/yoder.htm

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