ESTIMATING THE SPEED OF MARKET REACTION TO NEWS: MARKET EVENTS AND LUMBER FUTURES PRICES

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.


Issue Date:
2001
Publication Type:
Report
PURL Identifier:
http://purl.umn.edu/29152
Total Pages:
47
Series Statement:
Report 21




 Record created 2017-04-01, last modified 2017-08-24

Fulltext:
Download fulltext
PDF

Rate this document:

Rate this document:
1
2
3
 
(Not yet reviewed)