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

Alexander Kurov, Alessio Sancetta, Georg Strasser and Marketa Wolfe
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Alessio Sancetta: Royal Holloway, University of London

No 881, Boston College Working Papers in Economics from Boston College Department of Economics

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.

Keywords: Macroeconomic news announcements; financial markets; pre-announcement effect; drift; informed trading (search for similar items in EconPapers)
JEL-codes: E44 G14 G15 (search for similar items in EconPapers)
Date: 2015-06-25, Revised 2015-07-29
New Economics Papers: this item is included in nep-mac and nep-mst
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Citations: View citations in EconPapers (15)

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Related works:
Journal Article: Price Drift Before U.S. Macroeconomic News: Private Information about Public Announcements? (2019)
Working Paper: Price drift before U.S. macroeconomic news: private information about public announcements? (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocoec:881

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