The paper assesses the value of USDA information in the electronic corn futures markets. While recent research has documented large price volatility spikes after USDA announcements, increased volatility does not directly translate into value. Using multiple newly developed risk-premium measures and intraday data, we extend the Carter and Galopin approach based on estimating the risk-adjusted profits that accrue to advanced USDA information. Using the 2010–2020 period, the analysis demonstrates that USDA announcement surprises have economic value, with WASDE surprises from NASS-WASDE joint events being always valuable under all risk preferences. While the value is sensitive to these preferences, risk is relatively small because prices usually move in the direction of the market surprise which minimises losses. NASS surprises also contain value, though less than WASDE and only for the less risk averse traders. While overall risk is generally small, the intensified volatility right after the announcement points to the presence of noise and to the inadequacy of inferring the value of public information through price variability alone.

中文翻译：

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美国农业部公告在电子交易玉米期货市场中的价值：经过风险调整的修正充分检验

本文评估了美国农业部信息在电子玉米期货市场中的价值。虽然最近的研究记录了美国农业部宣布后价格大幅波动的峰值，但波动的增加并不能直接转化为价值。使用多个新开发的风险溢价指标和日内数据，我们扩展了卡特和加洛平方法，其基础是估计根据美国农业部高级信息产生的风险调整利润。使用 2010 年至 2020 年期间，分析表明美国农业部的公告意外具有经济价值，NASS-WASDE 联合事件中的 WASDE 意外在所有风险偏好下总是有价值的。虽然价值对这些偏好很敏感，但风险相对较小，因为价格通常会朝着市场意外的方向移动，从而最大限度地减少损失。NASS惊喜也包含价值，虽然低于 WASDE，但仅适用于风险规避程度较低的交易者。虽然总体风险通常很小，但宣布后立即加剧的波动表明存在噪音，并且仅通过价格波动来推断公共信息的价值是不够的。