drift accounts on average for about 40% of the total price adjustment. This implies that some traders have private … information about macroeconomic fundamentals. Pre-announcement drift might originate from a combination of information leakage and …

begin to move in the "correct" direction about 30 minutes before the release time. The pre-announcement price drift accounts … about macroeconomic fundamentals. The evidence suggests that the pre-announcement drift likely comes from a combination of …