This paper examines the impact of the public's expectation of a political event on global financial markets. Using the setting of the UK referendum on EU membership, we show that an increase in the likelihood of Brexit led to lower stock prices and higher market implied volatility. Furthermore,...

We provide evidence that the release of the unemployment rate announcement unconditionally leads to financial market uncertainty resolution in the stock, treasury, commodity, and foreign currency markets. The finding is economically valuable. A simple daily strategy of selling the 10-year...

This study investigates the role of financial market uncertainty in institutional herding and its impact on stock prices. We show that financial market uncertainty is a determinant of institutional herding. Fund managers tend to follow the trades of other managers more frequently during high...

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...

We examine stock index and Treasury futures markets around releases of U.S. macroeconomic announcements. Seven out of 21 market-moving announcements show evidence of substantial informed trading before the official release time. Prices begin to move in the "correct" direction about 30 minutes...