Katalog Online Perpustakaan

Detail Katalog

Jurnal

Journal of Financial Economics

Keyword

Media lockup;News embargo;Informed trading; FOMC announcement; Macroeconomic news

Pengarang

  1. Gennaro bernile
  2. Jianfeng hu
  3. Yuehua tang

    Subject

    1. ECONOMIC
    2. FINANCIAL

      [Abstrak]



      Gagencies 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.








      Periode

      Vol 121, Nomor 3, Tahun 2016

      [Berkas]

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