Market Reaction to Information Shocks – Does the Bloomberg and Briefing.com Survey Matter?

Journal of Futures Markets, Vol. 33, No. 10, 939-964 (2013)

37 Pages Posted: 3 May 2012 Last revised: 1 Nov 2018

See all articles by Linda H. Chen

Linda H. Chen

University of Idaho

George J. Jiang

Washington State University

Qin Emma Wang

Oklahoma State University - Tulsa

Date Written: April 25, 2012

Abstract

Bloomberg and Briefing.com provide competing forecasts for pre-scheduled macroeconomic announcements. This paper examines the accuracy of these forecasts and market reactions to announcement surprises. Our results show that the Bloomberg survey is slightly more accurate than the Briefing.com survey. More importantly, while announcement surprises based on both surveys have a significant effect on the trading activities and returns of S&P 500 futures contracts, the Bloomberg survey subsumes the explanatory power of the Briefing.com survey. The findings suggest that on average Bloomberg forecasts are more consistent with the market consensus view. In addition, we provide evidence of asymmetric market reactions to positive versus negative announcement surprises. In particular, the market reacts strongly to inflation news in the CPI and PPI announcements and negative shocks in housing price, personal spending, and retail sales.

Keywords: Information shocks, Macroeconomic announcements, Market reactions, Asymmetric market reactions, Bloomberg survey, Briefing.com survey

JEL Classification: G12, G13, G14

Suggested Citation

Chen, Linda H. and Jiang, George and Wang, Qin Emma, Market Reaction to Information Shocks – Does the Bloomberg and Briefing.com Survey Matter? (April 25, 2012). Journal of Futures Markets, Vol. 33, No. 10, 939-964 (2013). Available at SSRN: https://ssrn.com/abstract=2049933

Linda H. Chen

University of Idaho ( email )

Department of Accounting
College of Business and Economics
Moscow, ID 83944-3174
United States

George Jiang (Contact Author)

Washington State University ( email )

Department of Finance and Management Science
Carson College of Business
Pullman, WA 99-4746164
United States
509-3354474 (Phone)

HOME PAGE: http://directory.business.wsu.edu/bio.html?username=george.jiang

Qin Emma Wang

Oklahoma State University - Tulsa ( email )

700 North Greenwood
NH 320
Tulsa, OK 74106
United States
918-594-8394 (Phone)
918-594-8281 (Fax)

HOME PAGE: http://business.okstate.edu/directory/694480.html

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