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Price Drift Before U.S. Macroeconomic News: Private Information about Public Announcements?

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  • Kurov, Alexander
  • Sancetta, Alessio
  • Strasser, Georg
  • Wolfe, Marketa Halova

Abstract

We examine stock index and Treasury futures markets around releases of U.S. macroeconomic announcements from 2003 to 2014. Since 2008 seven out of 18 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 move accounts on average for about half of the total price adjustment. This pre-announcement price drift has not been documented before. We examine four possible explanations. The evidence points to leakage and proprietary data collection as the most likely causes of the new drift.
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  • Kurov, Alexander & Sancetta, Alessio & Strasser, Georg & Wolfe, Marketa Halova, 2019. "Price Drift Before U.S. Macroeconomic News: Private Information about Public Announcements?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 54(01), pages 449-479, February.
  • Handle: RePEc:cup:jfinqa:v:54:y:2019:i:01:p:449-479_00
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    Cited by:

    1. Kočenda, Evžen & Moravcová, Michala, 2018. "Intraday effect of news on emerging European forex markets: An event study analysis," Economic Systems, Elsevier, vol. 42(4), pages 597-615.
    2. Yang-Ho Park, 2019. "Information in Yield Spread Trades," Finance and Economics Discussion Series 2019-025, Board of Governors of the Federal Reserve System (US).
    3. repec:oup:restud:v:85:y:2018:i:4:p:2005-2041. is not listed on IDEAS
    4. Thomas Gilbert & Chiara Scotti & Georg H. Strasser & Clara Vega, 2015. "Is the Intrinsic Value of Macroeconomic News Announcements Related to Their Asset Price Impact?," Boston College Working Papers in Economics 874, Boston College Department of Economics, revised 23 Apr 2015.
    5. repec:eee:moneco:v:92:y:2017:i:c:p:78-95 is not listed on IDEAS
    6. Wael Bousselmi & Patrick Sentis & Marc Willinger, 2018. "Impact of the Brexit vote announcement on long-run market performance," Working Papers hal-01954920, HAL.
    7. Baum, Christopher F. & Kurov, Alexander & Wolfe, Marketa Halova, 2015. "What do Chinese macro announcements tell us about the world economy?," Journal of International Money and Finance, Elsevier, vol. 59(C), pages 100-122.
    8. Julio A. Crego, 2017. "Does Public News Decrease Information Asymmetries? Evidence from the Weekly Petroleum Status Report," Working Papers wp2017_1714, CEMFI.
    9. Julio A. Crego, 2017. "Does Public News Decrease Information Asymmetries? Evidence from the Weekly Petroleum Status Report," Working Papers wp2018_1714, CEMFI.
    10. Wael Bousselmi & Patrick Sentis & Marc Willinger, 2018. "Impact of the Brexit vote announcement on long-run market performance," CEE-M Working Papers hal-01954920, CEE-M, Universtiy of Montpellier, CNRS, INRA, Montpellier SupAgro.

    More about this item

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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