This paper investigates the reaction of the frozen pork bellies futures market to the release of inventory information. Knight-Ridder releases their analysts' forecasts two days prior to the estimates provided by USDA. The model provides a direct link between analysts' forecasts, the USDA estimates, and traders' beliefs on the frozen pork bellies inventories in storage. It differs from previous studies in that the price reaction depends on the information content of the difference between the USDA estimates and the analysts' forecasts, and on the dispersion among the analysts' forecasts. It is shown that empirical tests based solely on the information content of the forecasts induce possible measurement error and result in the biased findings.