English, Article edition: Announcement effects and the theory of storage: an empirical study of lumber futures Berna Karali; Walter N. Thurman

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  • article
Language
  • English

Edition details

Title
  • Announcement effects and the theory of storage: an empirical study of lumber futures
Author
  • Berna Karali
  • Walter N. Thurman
Physical Description
  • article
Notes
  • 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. To do so we develop a generalized least squares (GLS) method to jointly analyze simultaneously traded contracts. We find that increases in the unanticipated component of housing starts announcements increase returns on lumber futures contracts. Further, and as predicted by the theory of storage but previously unrecorded, the effects of housing starts shocks decline with lumber inventories. There is also a time-to-delivery effect: near-delivery contracts respond more sharply to housing starts news than do farther-out contracts. Copyright (c) 2009 International Association of Agricultural Economists.
  • RePEc:bla:agecon:v:40:y:2009:i:4:p:421-436
Language
  • English
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