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Abstract
This thesis investigates whether the arrival of USDA reports affects the incorporation of information in firm-level earnings announcements into the stock prices of publicly traded agricultural and food companies. We estimate buy-and-hold abnormal returns (BHAR) around the earnings announcement days to measure immediate stock price reactions and post-earnings announcement drift (PEAD) to quantify delayed price reactions. In general, we find that the arrival of USDA reports does not immediately affect the market reaction to earnings surprises but increases the PEAD for agricultural firms. When each report is considered separately, the Crop Production report is associated with a reduction in immediate price reaction and a significant increase in the PEAD for grain processors, which suggests a substitute relationship with earnings announcements. Other USDA reports have mixed effects for different groups of companies, with some affecting the immediate market reactions and others the PEAD.