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

• Main Authors: BERNILE, Gennaro, HU, Jianfeng, TANG, Yuehua
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2016
• Subjects: Media Lockup; News Embargo; Informed Trading; FOMC Announcement; MacroeconomicNews; Business; Corporate Finance; Finance and Financial Management
• 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
• Institution: Singapore Management University

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...