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

Georg Strasser, Alexander Kurov, Alessio Sancetta and Marketa Wolfe

No 1901, Working Paper Series from European Central Bank

Abstract: 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. JEL Classification: E44, G14, G15

Keywords: drift; financial markets; informed trading; macroeconomic news announcements; pre-announcement effect (search for similar items in EconPapers)
Date: 2016-05
New Economics Papers: this item is included in nep-mst
Note: 1137785
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Citations: View citations in EconPapers (16)

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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? (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20161901

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