We examine the response of hog futures prices to different measures of surprise resulting from the Hogs and Pigs Reports (HPR) announcements. We investigate whether the preliminary announcements and market expectations are rational forecasts for the period 1982–2002. We then assess the impact of alternative measures of new information from the announcements on hog futures prices. We find that HPR announcements are irrational estimates of final estimates and that market expectations are also irrational estimates of HPR announcements. First, while irrationality exists, HPR reports continue to demonstrate that they provide information to the market regardless of the form that is used to measure the effect. Second, the source of the irrationality in forecasting final and announced estimates is not clear, but because it emerges regardless of the supply variable examined, it makes sense to regard a factor such as a time-varying structural or technological change in the hog industry as a likely source. Finally, while we find that new information does indeed explain changes in prices, the degree of explanatory power is relatively small.