We investigate how lumber futures returns are affected by monthly housing starts announcements and analyze the dependence of the response on lumber inventories and time to delivery. We develop a Generalized Least Squares method to jointly analyze simultaneously traded contracts. We find that the unanticipated component of housing starts announcements increases returns on lumber futures contracts. Further, the effects of housing starts shocks decline with lumber inventories and time to delivery. Futures contracts up to four months out respond by a larger amount to the shocks than do more distant ones. For more distant delivery horizons, the effect of housing starts shocks declines linearly with time to delivery.