Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in AbstractWe 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 before the release time. The pre-announcement price drift accounts on average for about half of the total price adjustment. These results imply that some traders have private information about macroeconomic fundamentals. The evidence suggests that the preannouncement drift likely comes from a combination of information leakage and superior forecasting based on proprietary data collection and reprocessing of public information.Keywords: Macroeconomic news announcements; financial markets; pre-announcement effect; drift; informed trading JEL classification: E44; G14; G15 ECB Working Paper 1901, May 2016 1 Non-technical SummaryMacroeconomic indicators play an important role in business cycle forecasting and are closely watched by financial markets. Some of these indicators appear to influence financial market prices even ahead of their official release time. This paper examines the prevalence of pre-announcement price drift in U.S. stock and bond markets and looks for possible explanations.We study the impact of announcements on second-by-second E-mini S&P 500 stock The difficulty of identifying the causes of pre-announcement drift stems from the relatively small number of announcements that actually move financial markets. Nevertheless, we find that an implementation of strict release procedures makes pre-release drift less likely. This applies in particular to data released under the Principal Federal Economic Indicator (PFEI) guidelines, which impose strict security procedures. There is no evidence that modifying the calculation of market expectations, e.g., a focus on the most recent survey responses, helps in predicting the commonly used announcement surprise.Public information, such as internet activity data, predicts the surprise in a few cases where the public information closely corresponds to the forecasting target. Analogously, improvements in data processing render privately collecting large amounts of comparable information feasible, which can be used for generating proprietary forecasts ahead of time.This early information -leaked or self-calculated -does not need to be precise in order to a have a large price impact. Un...

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.

We examine the effect of scheduled macroeconomic announcements made by China on world financial and commodity futures markets. All announcements related to Chinese manufacturing and industrial output move stock markets, energy and industrial commodities as well as commodity currencies. News about Chinese domestic consumption leaves most markets unaffected, suggesting that market participants view the announcements primarily as a signal of the state of the global economy rather than merely of China's domestic economy. The market response to unexpectedly strong output announcements is not consistent with investors being concerned about tightening of Chinese macroeconomic policy; instead, the world markets view strong Chinese output as a rising tide that lifts all boats.JEL classification: E44; G14; G15

When the president of the United States tweets, do investors respond? We analyze the impact of tweets from President Donald J. Trump's official Twitter accounts from November 9, 2016 to December 31, 2017 that include names of publicly traded companies. We find that these tweets move company stock prices and increase trading volume, volatility, and institutional investor attention, with a stronger impact before the presidential inauguration. There is some evidence that the initial impact of the presidential tweets on stock prices is reversed in the next few trading days.