Information shocks, disagreement, and drift

• 成果类型: Article
• 署名作者: Armstrong, Will J.; Cardella, Laura; Sabah, Nasim
• 署名单位: Texas Tech University System; Texas Tech University; Massachusetts System of Public Higher Education; Framingham State College
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.02.002
• 发表日期: 2021
• 页码: 916-940
• 关键词: Asymmetric price drift; DISAGREEMENT; Intraday news; High frequency trading

摘要

We examine the effects of investor disagreement on price discovery using a recurring public information event in the highly liquid crude oil futures market, a market free of short sale constraints. We show that prices reflect positive news within one-half second of trading but continue to drift for five minutes when news is negative. Evidence suggests the drift arises from a systematic surge in buying pressure that impedes the price discovery process when news is negative. Our results are consistent with price drift arising from differences in trading horizons, where traders taking long positions condition trades on information beyond the news. (c) 2021 Elsevier B.V. All rights reserved.