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Abstract

The study evaluates the impact of four public reports and one private report on the cotton market: Export Sales, Crop Progress, World Agricultural Supply and Demand Estimates (WASDE), Perspective Planting, and Cotton This Month. The best fitting GARCH models are selected separately for the daily cotton futures close-to-close, close-to-open, and open-to-close returns from January 1995 through January 2012. In measuring the report effects, we control for the day-of-week, seasonality, stock level, and weekend-holiday effects on cotton futures returns. We find statistically significant impact of the WASDE and Perspective Planting reports on cotton returns. Furthermore, results indicate that the progression of market reaction varied across reports.

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