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August 20, 2026Agribusiness

Do Private WASDE Forecasts Pay? Event‐Window Profit Tests in Corn and Soybean Futures

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Authors

KLKeehyun LeeENEmmie NoyesEPEunchun Park

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Overview

Financial econometric analysis reveals positive event-window returns from pre-WASDE private analyst forecasts in agricultural futures, indicating monetizable information ahead of official reports.

Key Points

  • To examine whether private analyst forecasts released ahead of USDA WASDE reports contain monetizable information for short announcement-window trading in corn and soybean futures.
  • Analyzed monthly Bloomberg News survey forecasts for corn and soybeans from January 2011 to March 2024.
  • Assessed directional and distance accuracy metrics relative to futures returns measured from private-release market close to WASDE-release market close.
  • Directional accuracy showed a positive association with event-window futures returns across both corn and soybean markets for individual and consensus forecasts.
  • Consensus-level trading yielded positive, statistically significant mean returns in soybean futures, whereas corn futures mean returns were statistically indistinguishable from zero.
  • Cross-sectional analyst rankings demonstrated statistically significant performance persistence over time in corn markets, but not in soybeans.

Cite This Study

Lee et al. (2026) studied this question.

synapsesocial.com/papers/6a86b57f8a91293e6a1ccef0https://doi.org/10.1002/agr.70150
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