Announcement effects and the theory of storage: An empirical study of lumber futures

dc.contributor.author	Karali, B	en
dc.contributor.author	Thurman, WN	en
dc.date.accessioned	2014-06-06T06:48:54Z
dc.date.available	2014-06-06T06:48:54Z
dc.date.issued	2009	en
dc.identifier.issn	01695150	en
dc.identifier.uri	http://dx.doi.org/10.1111/j.1574-0862.2009.00389.x	en
dc.identifier.uri	http://62.217.125.90/xmlui/handle/123456789/4329
dc.subject	Announcement effects	en
dc.subject	Event study	en
dc.subject	Futures markets	en
dc.subject	Lumber	en
dc.subject	Theory of storage	en
dc.subject.other	inventory	en
dc.subject.other	market	en
dc.subject.other	storage	en
dc.subject.other	theoretical study	en
dc.subject.other	timber	en
dc.title	Announcement effects and the theory of storage: An empirical study of lumber futures	en
heal.type	journalArticle	en
heal.identifier.primary	10.1111/j.1574-0862.2009.00389.x	en
heal.publicationDate	2009	en
heal.abstract	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. © 2009 International Association of Agricultural Economists.	en
heal.journalName	Agricultural Economics	en
dc.identifier.issue	4	en
dc.identifier.volume	40	en
dc.identifier.doi	10.1111/j.1574-0862.2009.00389.x	en
dc.identifier.spage	421	en
dc.identifier.epage	436	en