Abstract

http://ssrn.com/abstract=2436272
 


 



Can Information Be Locked-Up? Informed Trading Ahead of Macro-News Announcements


Gennaro Bernile


Singapore Management University - Lee Kong Chian School of Business

Jianfeng Hu


Singapore Management University - Lee Kong Chian School of Business

Yuehua Tang


University of Florida - Department of Finance

October 13, 2015

Journal of Financial Economics (JFE), Forthcoming

Abstract:     
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 the Federal Open Market Committee’s scheduled announcements. The E-mini S&P 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, PPI, and GDP data releases.

Number of Pages in PDF File: 91

Keywords: Media Lockup, News Embargo, Informed Trading, FOMC Announcement, Macroeconomic News

JEL Classification: E59, G14, G18, K29


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Date posted: May 13, 2014 ; Last revised: October 27, 2015

Suggested Citation

Bernile, Gennaro and Hu, Jianfeng and Tang, Yuehua, Can Information Be Locked-Up? Informed Trading Ahead of Macro-News Announcements (October 13, 2015). Journal of Financial Economics (JFE), Forthcoming. Available at SSRN: http://ssrn.com/abstract=2436272 or http://dx.doi.org/10.2139/ssrn.2436272

Contact Information

Gennaro Bernile (Contact Author)
Singapore Management University - Lee Kong Chian School of Business ( email )
50 Stamford Road
Level 4
Singapore, 178899
Singapore
+65-68085478 (Phone)

Jianfeng Hu
Singapore Management University - Lee Kong Chian School of Business ( email )
50 Stamford Road
Singapore, 178899
Singapore
(+65) 68085477 (Phone)

Yuehua Tang
University of Florida - Department of Finance ( email )
P.O. Box 117168
Gainesville, FL 32611
United States
HOME PAGE: http://sites.google.com/site/yuehuatang
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