Can information be locked up? Informed trading ahead of macro-news announcements

Gennaro Bernile, Jianfeng Hu, Yuehua Tang

Research output: Contribution to journalArticlepeer-review

74 Scopus citations


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.

Original languageEnglish (US)
Pages (from-to)496-520
Number of pages25
JournalJournal of Financial Economics
Issue number3
StatePublished - Sep 1 2016
Externally publishedYes


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

ASJC Scopus subject areas

  • Accounting
  • Finance
  • Economics and Econometrics
  • Strategy and Management


Dive into the research topics of 'Can information be locked up? Informed trading ahead of macro-news announcements'. Together they form a unique fingerprint.

Cite this