Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/154334
Authors: 
Kurov, Alexander
Sancetta, Alessio
Strasser, Georg
Wolfe, Marketa Halova
Year of Publication: 
2016
Series/Report no.: 
ECB Working Paper 1901
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.
Subjects: 
drift
financial markets
informed trading
macroeconomic news announcements
pre-announcement effect
JEL: 
E44
G14
G15
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-2045-2
Document Type: 
Working Paper

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