Price Drift before U.S. Macroeconomic News: Private Information about Public Announcements?
73 Pages Posted: 30 Jul 2015 Last revised: 10 Nov 2017
Date Written: November 10, 2017
We examine stock index futures and Treasury futures around the release time of 30 U.S. macroeconomic announcements. Nine of the 20 announcements that move markets show evidence of substantial informed trading before the official release time. Prices begin to move in the “correct” direction about 30 minutes before the release time. The pre-announcement price drift accounts on average for about 40% of the total price adjustment. This implies that some traders have private information about macroeconomic fundamentals. Pre-announcement drift might originate from a combination of information leakage and superior forecasting that incorporates proprietary data.
Keywords: Macroeconomic news announcements, financial markets, pre-announcement effect, drift, informed trading
JEL Classification: E44, G14, G15
Suggested Citation: Suggested Citation