Surprise and dispersion: informational impact of USDA announcements

Adrian Fernandez-Perez, Bart Frijns, Ivan Indriawan*, Alireza Tourani-Rad

*Corresponding author for this work

Research output: Contribution to journalArticleAcademicpeer-review


We examine the role of information asymmetry on changes in bid‐ask spreads during major United States Department of Agriculture (USDA) announcements. Our analyses, using corn, wheat, and soybean futures, indicate that information asymmetry is significantly higher on USDA announcement days compared to nonannouncement days. We further observe that the increased information asymmetry prior to news announcements is mainly driven by the divergence in private information possessed by market participants. However, once the USDA news is released, not only the dispersion in investors’ private information but also the surprises in news announcements contribute to increased information asymmetry and widening of bid‐ask spreads.
Original languageEnglish
Pages (from-to)113-126
Number of pages14
JournalAgricultural Economics
Issue number1
Publication statusPublished - Jan 2019
Externally publishedYes


  • Agricultural commodities
  • Bid-ask spreads
  • Spread decomposition


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