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

ABSTRACT This paper examines whether private analyst forecasts released ahead of the USDA World Agricultural Supply and Demand Estimates (WASDE) contain monetizable information for short announcement‐window trading. Using monthly Bloomberg News surveys from January 2011 to March 2024, we relate forecast quality—directional accuracy and distance accuracy—to futures returns from the private‐release close to the WASDE‐release close for corn and soybeans. Directional accuracy is positively associated with event‐window returns in both markets, for both individual analysts and the monthly consensus. Coefficient magnitudes can be compared descriptively: the consensus estimate is about one‐third larger in corn and nearly unchanged in soybeans, although the specifications differ. At the consensus level, the soybean mean return is positive and statistically significant, whereas the corn mean is statistically indistinguishable from zero. Analyst rankings reveal cross‐sectional differences in forecast values, with significant rank persistence only for corn. Overall, publicly distributed pre‐WASDE survey information is associated with economically meaningful announcement‐window returns before transaction costs.