Price Drift Before U.S. Macroeconomic News: Private Information about Public Announcements?
研究了美国30个宏观经济公告发布前后股指期货和国债期货的价格变化，发现其中9个公告在正式发布前约30分钟价格就开始朝正确方向移动，提前漂移平均占总价格调整的40%，表明部分交易者掌握了宏观经济基本面私有信息。
We examine stock index futures and Treasury futures around the release time of 30 U.S. macroeconomic announcements. Nine of the 20 announcements that move markets show evidence of substantial informed trading before the official release time. Prices begin to move in the “correct” direction approximately 30 minutes before the release time. The preannouncement price drift accounts on average for approximately 40% of the total price adjustment. This implies that some traders have private information about macroeconomic fundamentals. Preannouncement drift might originate from a combination of information leakage and superior forecasting that incorporates proprietary data.