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

• 成果类型: Article
• 署名作者: Bernile, Gennaro; Hu, Jianfeng; Tang, Yuehua
• 署名单位: Singapore Management University; State University System of Florida; University of Florida
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2015.09.012
• 发表日期: 2016
• 页码: 496-520
• 关键词: Media lockup; News embargo; Informed trading; FOMC announcement; Macroeconomic news

摘要

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 Standard & Poor's 500 futures' abnormal order imbalances are in the direction of subsequent policy surprises and contain information that predicts the market reaction to the policy announcements. The estimated informed trades' profits are arguably large. Notably, we find no evidence of informed trading prior to the start of FOMC news embargoes or during lockups ahead of nonfarm payroll, US Producer Price Index, and gross domestic product data releases. (C) 2016 Elsevier B.V. All rights reserved.