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


Singapore Management University - Lee Kong Chian School of Business

August 30, 2014


Abstract:     
U.S. government agencies routinely allow pre-release access to macroeconomic data to accredited news agencies under embargo agreements or in lockup facilities. We use high frequency data to investigate whether there is informed trading during lockup periods prior to salient macro-news announcements. Consistent with information leakage during lockups of the Federal Open Market Committee’s (FOMC) scheduled announcements, the E-mini S&P 500 futures’ average abnormal order imbalance is statistically significant and in the direction of subsequent policy surprises. Our estimates of pre-release informed trades’ dollar profits range between $4.5 and $210 million when aggregated across all markets and FOMC’s surprise announcements that we examine. While our results challenge the appropriateness of the FOMC’s lockup practices, we find no evidence of informed trading ahead of nonfarm payroll, CPI, and GDP data releases by other government agencies.

Number of Pages in PDF File: 64

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: November 1, 2014

Suggested Citation

Bernile, Gennaro and Hu, Jianfeng and Tang, Yuehua, Can Information Be Locked-Up? Informed Trading Ahead of Macro-News Announcements (August 30, 2014). 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
Singapore Management University - Lee Kong Chian School of Business ( email )
50 Stamford Road
Singapore, 178899
Singapore
+65 6808-5475 (Phone)
+65 6828-0427 (Fax)
HOME PAGE: http://sites.google.com/site/yuehuatang/

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