Can information be locked up? Privately informed trading ahead of macro-news announcements

U.S. government agencies routinely allow pre-release access to macroeconomic data to accredited news agencies under embargo agreements. Using high frequency data, we find evidence consistent with informed trading during news embargoes of the Federal Open Market Committee’s (FOMC) scheduled announcem...

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Main Authors: BERNILE, Gennaro, HU, Jianfeng, TANG, Yuehua
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Language:English
Published: Institutional Knowledge at Singapore Management University 2014
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Online Access:https://ink.library.smu.edu.sg/lkcsb_research/4227
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spelling sg-smu-ink.lkcsb_research-52262015-03-26T03:36:06Z Can information be locked up? Privately informed trading ahead of macro-news announcements BERNILE, Gennaro HU, Jianfeng TANG, Yuehua U.S. government agencies routinely allow pre-release access to macroeconomic data to accredited news agencies under embargo agreements. Using high frequency data, we find evidence consistent with informed trading during news embargoes of the Federal Open Market Committee’s (FOMC) scheduled announcements. The E-mini S&P 500 futures' average abnormal order imbalance is statistically significant and in the direction of subsequent policy surprises. Our estimates of pre-release informed trades’ dollar profits range between $4.5 and $210.5 million when aggregated across all markets and FOMC’s surprise announcements that we examine. Notably, we find no evidence of informed trading immediately prior to FOMC’s news embargoes or during lockups ahead of nonfarm payroll, CPI, and GDP data releases. 2014-11-01T07:00:00Z text https://ink.library.smu.edu.sg/lkcsb_research/4227 Research Collection Lee Kong Chian School Of Business eng Institutional Knowledge at Singapore Management University Business
institution Singapore Management University
building SMU Libraries
continent Asia
country Singapore
Singapore
content_provider SMU Libraries
collection InK@SMU
language English
topic Business
spellingShingle Business
BERNILE, Gennaro
HU, Jianfeng
TANG, Yuehua
Can information be locked up? Privately informed trading ahead of macro-news announcements
description U.S. government agencies routinely allow pre-release access to macroeconomic data to accredited news agencies under embargo agreements. Using high frequency data, we find evidence consistent with informed trading during news embargoes of the Federal Open Market Committee’s (FOMC) scheduled announcements. The E-mini S&P 500 futures' average abnormal order imbalance is statistically significant and in the direction of subsequent policy surprises. Our estimates of pre-release informed trades’ dollar profits range between $4.5 and $210.5 million when aggregated across all markets and FOMC’s surprise announcements that we examine. Notably, we find no evidence of informed trading immediately prior to FOMC’s news embargoes or during lockups ahead of nonfarm payroll, CPI, and GDP data releases.
format text
author BERNILE, Gennaro
HU, Jianfeng
TANG, Yuehua
author_facet BERNILE, Gennaro
HU, Jianfeng
TANG, Yuehua
author_sort BERNILE, Gennaro
title Can information be locked up? Privately informed trading ahead of macro-news announcements
title_short Can information be locked up? Privately informed trading ahead of macro-news announcements
title_full Can information be locked up? Privately informed trading ahead of macro-news announcements
title_fullStr Can information be locked up? Privately informed trading ahead of macro-news announcements
title_full_unstemmed Can information be locked up? Privately informed trading ahead of macro-news announcements
title_sort can information be locked up? privately informed trading ahead of macro-news announcements
publisher Institutional Knowledge at Singapore Management University
publishDate 2014
url https://ink.library.smu.edu.sg/lkcsb_research/4227
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