Price drift before U.S. macroeconomic news: private information about public announcements?

Arbeitspapier

We examine stock index and Treasury futures markets around releases of U.S. macroeconomic announcements. Seven out of 21 market-moving announcements show evidence of substantial informed trading before the official release time. Prices begin to move in the \correct" direction about 30 minutes before the release time. The pre-announcement price drift accounts on average for about half of the total price adjustment. These results imply that some traders have private information about macroeconomic fundamentals. The evidence suggests that the pre-announcement drift likely comes from a combination of information leakage and superior forecasting based on proprietary data collection and reprocessing of public information.

Angaben zum Objekt

• ISBN: 978-92-899-2045-2
• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: ECB Working Paper ; No. 1901

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Financial Markets and the Macroeconomy ; Information and Market Efficiency; Event Studies; Insider Trading ; International Financial Markets
• Thema: drift ; financial markets ; informed trading ; macroeconomic news announcements ; pre-announcement effect

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Kurov, Alexander ; Sancetta, Alessio ; Strasser, Georg ; Wolfe, Marketa Halova
• Ereignis: Veröffentlichung
• (wer): European Central Bank (ECB)
• (wo): Frankfurt a. M.
• (wann): 2016

Weitere Informationen

• DOI: doi:10.2866/39257
• Handle: http://hdl.handle.net/10419/154334
• Letzte Aktualisierung: 10.03.2025, 11:45 MEZ