Journal of Financial and Quantitative Analysis, Volume 54, Issue 1, February 2019

美国宏观经济消息公布前的价格波动源于公告的私人信息?

作者：Alexander Kurov (West Virginia University, USA),

Alessio Sancetta (University of Kentucky, USA),

Georg Strasser (European Central Bank, USA),

Marketa Halova Wolfe (Skidmore College, USA)

摘要：我们研究在30个美国宏观经济公告发布时股指期货和国债期货的表现。在影响市场的20个公告中有9项显示了在正式发布时间之前有大量交易的证据。在发布前大约30分钟，价格开始朝着“正确”的方向移动。公告前的价格波动解释了总价格调整的40%。这意味着一些交易员拥有关于宏观经济基本面的私人信息。公告前的波动可能源于信息泄漏和融合专有数据的出色预测。

Price Drift Before U.S. Macroeconomic News: Private Information about Public Announcements?

Alexander Kurov (West Virginia University, USA), Alessio Sancetta (University of Kentucky, USA), Georg Strasser (European Central Bank, USA), Marketa Halova Wolfe (Skidmore College, USA)

ABSTRACT

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.

原文链接：https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/price-drift-before-us-macroeconomic-news-private-information-about-public-announcements/E1AE41FB94D4F2CA5134410D5C82A0E2#

翻译：阙江静