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

Author

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

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

Suggested Citation

  • Strasser, Georg & Kurov, Alexander & Sancetta, Alessio & Wolfe, Marketa Halova, 2016. "Price drift before U.S. macroeconomic news: private information about public announcements?," Working Paper Series 1901, European Central Bank.
    • Handle: RePEc:ecb:ecbwps:20161901
    Note: 1137785
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    More about this item

    Keywords

    drift; financial markets; informed trading; macroeconomic news announcements; pre-announcement effect;
    All these keywords.

    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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