Is Someone Front-Running You Around News Releases?

This study presents evidence that much of the trading on macro-economic news occurs prior to the scheduled news announcement times. Examining the trading patterns ahead of the ISM Manufacturing Index and Construction Spending announcement, we find that the trading on the not-yet-publicly released embargoed news consistently takes place as long as 30 minutes ahead of the news announcement times. As much as three quarters of the pre-announcement price move appears to be driven by aggressive HFTs

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Year of publication:	2016
Authors:	Aldridge, Irene
Publisher:	[2016]: [S.l.] : SSRN
Subject:	Ankündigungseffekt \| Announcement effect \| Börsenkurs \| Share price

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Extent:	1 Online-Ressource (28 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 5, 2016 erstellt
Other identifiers:	10.2139/ssrn.2727366 [DOI]
Classification:	L1 - Market Structure, Firm Strategy, and Market Performance ; E44 - Financial Markets and the Macroeconomy ; E61 - Policy Objectives; Policy Designs and Consistency; Policy Coordination ; E65 - Studies of Particular Policy Episodes ; G14 - Information and Market Efficiency; Event Studies ; B22 - Macroeconomics
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012999726