The market response to government crop news under different release regimes

Many USDA reports are anticipated by commodity traders because they contain news about market fundamentals. USDA has made several recent changes to the publication of these reports, including shifting their publication time, releasing them so that traders can respond in real-time, and--just last July--removing media from the lockup environment where reports are prepared. Previously, traders had hours to digest USDA news, or at least access media summaries of that news, before or just as active trading resumed; now traders must digest news while markets are open. We show that continuous trading of government news coincided with wider daily session price ranges in the CBOT corn market. At the intraday level, we confirm recent findings about elevated trading volatility at report publication time under the real-time format: that these volatility spikes moderate fairly quickly, and that the CBOT corn market has a more difficult time distinguishing important news events. Although the sample of news events since the lockup policy change is small, we do not find evidence that removing media members from lockup has increased announcement time price volatility using either daily or intraday data.