@article{fe10a8225d8c41738f5e1f010e813219,
title = "Can information be locked up? Informed trading ahead of macro-news announcements",
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{\textquoteright} 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{\textquoteright} 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 = "FOMC announcement, Informed trading, Macroeconomic news, Media lockup, News embargo",
author = "Gennaro Bernile and Jianfeng Hu and Yuehua Tang",
note = "Funding Information: We are grateful to the referee (Mungo Wilson) for support and valuable guidance. We also thank Vikas Agarwal, Rui Albuquerque, George Aragon, Ekkehart Boehmer, Jonathan Brogaard, Emiliano Catan, Tarun Chordia, Wenxin Du, Andrew Ellul, Fangjian Fu, Philip Gharghori, Daniel Greene, Bruce Grundy, Sheng Huang, Alex Hsu, Paul Irvine, Eamon Javers, Ohad Kadan, Shimon Kogan, Canlin Li, Guangzhong Li, Steve Liesman, Roger Loh, David Lucca, Evgeny Lyandres, Roni Michaely, Andreas Milidonis, Lin Peng, Joshua Pollet, Marcel Rindisbacher, Ravi Sastry, Pavel Savor, Robert Schwartz, Tao Shu, Clemens Sialm, Richard Sias, Zhaogang Song, Johan Sulaeman, Rex Thompson, Giorgio Valente, Clara Vega, Kumar Venkataraman, Rene Wells, Vivian Yue, Chu Zhang, Guofu Zhou, and seminar participants at 2015 Asian Bureau of Finance and Economic Research Annual Conference, 2014 Chicago Quantitative Alliance Hong Kong Conference, 2015 China International Conference in Finance, 2014 Conference on Empirical Legal Studies at University of California at Berkeley, 2015 European Finance Association Meeting, 2014 Singapore Management University Summer Finance Institute, 2014 Singapore Scholar Symposium, 2015 Paul Woolley Centre for the Study of Capital Market Dysfunctionality Conference, Baruch College, Boston University, Fordham University, National University of Singapore, Singapore Management University, Southern Methodist University, Sun Yat-sen University, University of Hong Kong, University of Texas at Dallas, US Federal Reserve Board of Governors, and US Securities and Exchange Commission for helpful comments and valuable suggestions. We are responsible for all remaining errors and omissions. We gratefully acknowledge financial support from the Ministry of Education of Singapore . Yuehua Tang acknowledges the D.S. Lee Foundation Fellowship of Singapore Management University. Publisher Copyright: {\textcopyright} 2016 Elsevier B.V.",
year = "2016",
month = sep,
day = "1",
doi = "10.1016/j.jfineco.2015.09.012",
language = "English (US)",
volume = "121",
pages = "496--520",
journal = "Journal of Financial Economics",
issn = "0304-405X",
publisher = "Elsevier",
number = "3",
}