Publication Type
Journal Article
Version
submittedVersion
Publication Date
9-2016
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 Federal Open Market Committee (FOMC) scheduled announcements. The E-mini Standard & Poor’s 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, US Producer Price Index, and gross domestic product data releases.
Keywords
Media Lockup, News Embargo, Informed Trading, FOMC Announcement, MacroeconomicNews
Discipline
Business | Corporate Finance | Finance and Financial Management
Research Areas
Finance
Publication
Journal of Financial Economics
Volume
121
Issue
3
First Page
496
Last Page
520
ISSN
0304-405X
Identifier
10.1016/j.jfineco.2015.09.012
Publisher
Elsevier
Citation
BERNILE, Gennaro; HU, Jianfeng; and TANG, Yuehua.
Can information be locked up? Informed trading ahead of macro-news announcements. (2016). Journal of Financial Economics. 121, (3), 496-520.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/4482
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1016/j.jfineco.2015.09.012