Early peek advantage? Efficient price discovery with tiered information disclosure

• 成果类型: Article
• 署名作者: Hu, Grace Xing; Pan, Jun; Wang, Jiang
• 署名单位: University of Hong Kong; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2017.07.007
• 发表日期: 2017
• 页码: 399-421
• 关键词: Early peek; information disclosure; Price discovery; High frequency trading

摘要

From 2007 to June 2013, a small group of fee-paying, high-speed traders receive the Michigan Index of Consumer Sentiment two seconds before its broader release. Within this early peek window, we find highly concentrated trading and a fast price discovery of less than 200 milliseconds. Outside this narrow window, general investors trade at fully adjusted prices. We further establish a causal relationship between the early peek mechanism and the fast price discovery by isolating the impact of the early peek arrangement along two dimensions. In cross section, we use other news releases without the early peek (as controls); in time series, we use the sudden suspension of the early peek arrangement in July 2013 (as the treatment). Our difference-in-difference tests directly connect the early peek arrangement to more efficient price discovery - it results in faster price discovery, lower volatility, and faster resolution of uncertainty. These results show that contrary to the common perception, tiered information release may help to reduce, rather than enhance, the informational advantage of faster traders and improve the efficiency of the price discovery process in financial markets. (C) 2017 Published by Elsevier B.V.