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Estimating The Speed Of Market Reaction To News: Market Events And Lumber Futures Prices

Author

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  • Rucker, Randal R.
  • Thurman, Walter N.
  • Yoder, Jonathan K.

Abstract

With 16 years of daily lumber futures prices, we study the effects of different types of information releases: (1) monthly housing starts estimates, (2) aperiodic administrative and judicial announcements about U.S.-Canada trade disputes, and (3) 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 test the predictions using a new event study methodology appropriate to relatively slowly evolving information events. We find that housing starts are absorbed more quickly than trade events, which are absorbed more quickly than ESA events.

Suggested Citation

  • Rucker, Randal R. & Thurman, Walter N. & Yoder, Jonathan K., 2001. "Estimating The Speed Of Market Reaction To News: Market Events And Lumber Futures Prices," Reports 29152, North Carolina State University, Department of Agricultural and Resource Economics.
    • Handle: RePEc:ags:ncsure:29152
    DOI: 10.22004/ag.econ.29152
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    Cited by:

    1. Manfredo, Mark R. & Sanders, Dwight R., 2006. "Contribution to Price Discovery in the Forest Product Market: Futures, Forwards, and Spot Markets," 2006 Annual meeting, July 23-26, Long Beach, CA 21250, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    2. Sanders, Dwight R. & Manfredo, Mark R., 2005. "Price Discovery in Private Cash Forward Markets - The Case of Lumber," 2005 Conference, April 18-19, 2005, St. Louis, Missouri 19049, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.

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    Keywords

    Demand and Price Analysis;

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