Wednesday, July 8, 2015

Trading on Leaked Macroeconomic Data

The official release times of U.S. macroeconomic data are big deals in financial markets. A new paper finds evidence of substantial informed trading before the official release time of certain macroeconomic variables, suggesting that information is often leaked. Alexander Kurov, Alessio Sancetta, Georg H. Strasser, and Marketa Halova Wolfe examine high-frequency stock index and Treasury futures markets data around releases of U.S. macroeconomic announcements:
These announcements are quintessential updates to public information on the economy and fundamental inputs to asset pricing. More than a half of the cumulative annual equity risk premium is earned on announcement days (Savor & Wilson, 2013) and the information is almost instantaneously reflected in prices once released (Hu, Pan, & Wang, 2013). To ensure fairness, no market participant should have access to this information until the official release time. Yet, in this paper we find strong evidence of informed trading before several key macroeconomic news announcements....Prices start to move about 30 minutes before the official release time and the price move during this pre-announcement window accounts on average for about a half of the total price adjustment.
They consider the 30 macroeconomic announcements that other authors have shown tend to move markets, and find evidence of:

  • Significant pre-announcement price drift for: CB consumer confidence index, existing home sales, GDP preliminary, industrial production, ISM manufacturing index, ISM non-manufacturing index, and pending home sales.
  • Some pre-announcement drift for: advance retail sales, consumer price index, GDP advance, housing starts, and initial jobless claims.
  • No pre-announcement drift for: ADP employment, durable goods orders, new home sales, non-farm employment, producer price index, and UM consumer sentiment.
The figure below shows mean cumulative average returns in the E-mini S&P 500 Futures market from 60 minutes before the release time to 60 minutes after the release time for the series with significant evidence of pre-announcement drift.

Source: Kurov et al. 2015, Figure A1, panel c. Cumulative average returns in the E-mini S&P 500 Futures market .
Why do prices start to move before release time? It could be that some traders are superior forecasters, making better use of publicly-available information, and waiting until a few minutes before the announcement to make their trades. Alternatively, information might be leaked before the official release. Kurov et al. note that, while the first possibility cannot be ruled out entirely, the leaked information explanation appears highly likely. The authors conducted a phone and email survey of the organizations responsible for the macroeconomic data in their study to find out about data release procedures:
The release procedures fall into one of three categories. The first category involves posting the announcement on the organization’s website at the official release time, so that all market participants can access the information at the same time. The second category involves pre-releasing the information to selected journalists in “lock-up rooms” adding a risk of leakage if the lock-up is imperfectly guarded. The third category, previously not documented in academic literature, involves an unusual pre-release procedure used in three announcements: Instead of being pre-released in lock-up rooms, these announcements are electronically transmitted to journalists who are asked not to share the information with others. These three announcements are among the seven announcements with strong drift.
I wish I had a better sense of who was obtaining the leaked information and how much they were making from it.

52 comments:

  1. I am happy to find this content very helpful and informative for me, as it contains lot of accurate detailing about the topic, which I was searching for. Thanks a lot and good luck.!!!!!!!!!!
    Commodity tips

    ReplyDelete
  2. Logical. Well done. (Show to the SEC. They will then figure a way to have you examined instead...)

    ReplyDelete
  3. Great piece of writing, I really liked the way you highlighted some really important and significant points. Thanks so much, I appreciate your work.
    silver tips advisor

    ReplyDelete
  4. Your article is very good, I have searched a lot of information in this article. I began to do a page, i hope it is soon completed. People can visit and comment, thanks.
    girlsgogames l coolmath4kids l kizi l unblocked games l jogos de friv l jogos do friv l juegos de autos gratis l jogos do pou l juegos de los simpson l game for kids online l unblocked games

    ReplyDelete
  5. Your chart is very easy to understand for new users. I learned many points in this post.

    ReplyDelete
  6. Thanks for sharing the information. It is very useful for my future. keep sharing
    Kizi 123|
    Friv 234|
    Friv

    ReplyDelete
  7. Ich genoss das Lesen Sie Ihre Blog-Post. Es hat eine Menge geholfen.
    Wenn möglich, da mehr Wissen kommt dem Weg, ich hoffe, Sie zu aktualisieren könnte, um mehr Informationen mit uns zu teilen. Es ist sehr hilfreich.
    Ich weiß auch von Informationsquellen, die Ihre Leser profitieren könnten, finden Sie Links unten
    Binäre Optionen handeln

    ReplyDelete
  8. This is something special! never seen this before! thank you
    Friv 1

    ReplyDelete
  9. You need to kill time, you need entertainment. Refer to our website. hope you get the most comfort.
    Thanks you for sharing!
    Yepi
    Kizi
    Friv
    Friv Games

    ReplyDelete
  10. you'd have time to look these kids active. Please visit our website and let us play the game interesting.
    Thanks for sharing !
    Friv 10
    Kizi 10
    Yepi 2

    ReplyDelete
  11. You are stressed and tired, you need entertainment. Refer to our website. hope you get the most comfortable.
    Kizi 4

    ReplyDelete
  12. This comment has been removed by the author.

    ReplyDelete
  13. you'd have time to look these kids active. Please visit our website and let us play the game interesting.
    Thanks for sharing !
    Friv 10
    Kizi 10
    Yepi 2

    ReplyDelete
  14. You are stressed and tired, you need entertainment. Refer to our website. hope you get the most comfortable.
    Kizi 4

    ReplyDelete
  15. You are stressed and tired, you need entertainment. Refer to our website. hope you get the most comfortable.
    Kizi 4

    ReplyDelete
  16. You are stressed and tired, you need entertainment. Refer to our website. hope you get the most comfortable.
    Kizi 4

    ReplyDelete
  17. you'd have time to look these kids active. Please visit our website and let us play the game interesting.
    Thanks for sharing !
    Friv 10
    Kizi 10
    Yepi 2

    ReplyDelete
  18. You need to kill time, you'd have time to look these kids active. Refer to our website. Hope you get the most comfort.
    Thanks for sharing !
    Friv 5
    Kizi 1
    Yepi 3

    ReplyDelete
  19. This comment has been removed by the author.

    ReplyDelete
  20. When you're tired, you want to relax after a stressful working hours, you need to have time to take care of the kids active.
    Please visit our website and play exciting flash games.Thanks you for sharing!
    Friv 4

    ReplyDelete
  21. Very helpful advice in this particular post! It’s the little changes that make the largest changes. Thanks for sharing!
    Friv
    Friv.com
    Friv 2016

    ReplyDelete
  22. I enjoyed over read your blog post. This was actually what i was looking for, and i am glad to came here!
    Happy Wheels | Happy Wheels Game | happywheels | happywheels game | Slitherio | Wingsio

    ReplyDelete
  23. Play the Best Free Games! We've picked out the racing games, cooking games, candy crush, games shooting, fashion games, ...
    Thanks for sharing !
    Kizi 200
    Friv 1
    Y88
    Y9

    ReplyDelete
  24. العاب بنات يحتوي موقعنا على تشكيلة من العاب بنات متجددة باستمرار وكل مايتعلق بصنف العاب بنات تلبيس ومكياج وطبخ ومرحبا بكم في العاب بنات جديدة
    al3ab-banat01 العاب بنات
    al3ab banat

    ReplyDelete
  25. Play the Best Free Games! We've picked out the racing games, cooking games, candy crush, games shooting, fashion games, ...
    Thanks for sharing !
    Kizi 200
    Friv 1
    Y88
    Y9

    ReplyDelete
  26. Play the Best Free Games! We've picked out the racing games, cooking games, candy crush, games shooting, fashion games, ...
    Thanks for sharing !
    Kizi 200
    Friv 1
    Y88
    Y9

    ReplyDelete
  27. Hey there! Amazing blog you have there. I have been reading it for a while now and I always find some really usefull infos since I am interested in trading and into forex. Thanks so much for sharing!

    ReplyDelete
  28. You want to relax after a stressful working hours. Refer to our website. hope you get the most comfort.
    Thanks for sharing !
    Friv 100
    Friv 8
    Friv 2

    ReplyDelete
  29. This app is great it gives you those moments of relaxation and incredibly wonderful
    age of war 2 | tank trouble | gold miner | tank trouble 3
    Just wanted to tell you keep up the fantastic work!my weblog:
    age of war 3 | earn to die 1 | earn to die 2

    ReplyDelete
  30. Thanks for the best was very useful for me.keep sharing such ideas in the future as well. Thanks for giving me the useful information. I think I need it!


    Licensed Moneylender

    ReplyDelete
  31. You want to relax after a stressful working hours. Refer to our website. Hope you get the most comfort.
    Thanks for sharing !
    GirlsGoGames
    Kizi 100
    Frvi

    ReplyDelete
  32. You need to have time to take care of the kids active. Please visit our website and play exciting flash games.
    Thanks you for sharing!
    Games2Girls
    Kizi 1000
    Frin
    Friv 3

    ReplyDelete
  33. Introducing to you some of the current hot game
    red ball 3 || age of war
    or
    tank trouble || happy wheels
    or
    earn to die
    this is one of the cult game now, a lot of people enjoy playing them :
    slitherio || wingsio
    Welcome to the website which is dedicated to the most funny and addicting
    unblocked game| mills eagles | kids games |
    action games | flash games | stickman games
    gmail sing in

    ReplyDelete
  34. Posts shared useful information and meaningful life, I must appreciate the way you have express your feelings through your blog!.
    Thank you for sharing!
    Yoob Games
    JuegosFriv2
    Kizi 2
    Yepi 100

    ReplyDelete
  35. Thanks for your post! I believe there are many who feel the same satisfaction as I read this article! I hope you will continue to have such articles to share with everyone!
    slither io

    ReplyDelete
  36. Thanks for information!!!
    If you want to play casino online you can check on this link!!!

    บาคาร่าออนไลน์
    จีคลับ

    ReplyDelete
  37. Checking about google account to Create New Gmail now its one of the finest.

    ReplyDelete
  38. Thanks to information shared by the author. hope the author has many more interesting articles
    Y8 Games
    Friv 1000
    Friv 4

    ReplyDelete
  39. Freelance Best Makeup & Hair Artist in Jaipur with huge experience and Specialization in Bridal and Wedding Makeup,Celebrity Makeup,Professional Makeup,Creative Makeup,Bollywood Makeup..
    Fiza Makeup Academy
    Fiza Makeup and Hair Artist
    Wedding Makeup Artist in jaipur
    Bridal Makeup Artist in jaipur
    Professional Makeup Artist in jr jaipur
    Hair and Makeup Artist in jaipur
    Celebrity Makeup Artist in jaipur
    Creative Makeup Artist in jaipur
    Bollywood Makeup Artist in jaipur
    Character Makeup Artist in jaipur
    Fiza Makeup Academy Rajasthan
    Freelance Bridal Makeup Artist in jaipur
    Top 10 beautyparlor in jaipur
    Top 10 beautyparlor in rajasthan
    Top 10 beautyparlor in india

    ReplyDelete
  40. Thanks to information shared by the author. hope the author has many more interesting articles
    Y8 Games
    Friv 1000
    Friv 4

    ReplyDelete
  41. aptium to create new account with www.gmail.com
    Gmail signup
    Mobdro app best oppertunity to create one of the best emails to have on internet.

    ReplyDelete

Comments appreciated!