Price Drift before U.S. Macroeconomic News: Private Information about Public Announcements?

73 Pages Posted: 30 Jul 2015 Last revised: 10 Nov 2017

See all articles by Alexander Kurov

Alexander Kurov

West Virginia University - College of Business & Economics

Alessio Sancetta

University of London, Royal Holloway College - Department of Economics

Georg Strasser

European Central Bank (ECB) - Directorate General Research

Marketa Wolfe

Skidmore College - Department of Economics

Multiple version iconThere are 2 versions of this paper

Date Written: November 10, 2017

Abstract

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

Kurov, Alexander and Sancetta, Alessio and Strasser, Georg H. and Wolfe, Marketa, Price Drift before U.S. Macroeconomic News: Private Information about Public Announcements? (November 10, 2017). Journal of Financial and Quantitative Analysis (JFQA), Forthcoming; Paris December 2015 Finance Meeting EUROFIDAI - AFFI. Available at SSRN: https://ssrn.com/abstract=2637528 or http://dx.doi.org/10.2139/ssrn.2637528

Alexander Kurov

West Virginia University - College of Business & Economics ( email )

P.O. Box 6025
Morgantown, WV 26506
United States

Alessio Sancetta

University of London, Royal Holloway College - Department of Economics ( email )

Royal Holloway College
Egham
Surrey, Surrey TW20 0EX
United Kingdom

Georg H. Strasser

European Central Bank (ECB) - Directorate General Research ( email )

Sonnemannstraße 20
Frankfurt am Main, 60314
Germany
+496913441416 (Phone)

Marketa Wolfe (Contact Author)

Skidmore College - Department of Economics ( email )

815 N Broadway
Saratoga Springs, NY 12866
United States
+1-518-580-8374 (Phone)

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