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

Government agencies routinely allow pre-release access to information to accredited news agencies under embargo agreements. Using high-frequency data, we find evidence consistent with informed trading during embargoes of Federal Open Market Committee (FOMC) scheduled announcements. The E-mini Standa...

Full description

Saved in:
Bibliographic Details
Main Authors: BERNILE, Gennaro, HU, Jianfeng, TANG, Yuehua
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2016
Subjects:
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/4482
https://ink.library.smu.edu.sg/context/lkcsb_research/article/5481/viewcontent/JIANFENG2.pdf
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Singapore Management University
Language: English