Drift Begone! Release Policies and Preannouncement Informed Trading

Seminar abstract

In 2017, the UK statistics authority discontinued the early access of government officials to market-sensitive macroeconomic data.

The research presented in the seminar examines the effect of this change on the price adjustment in the foreign exchange futures market around major UK macroeconomic announcements.

Three macroeconomic indicators (consumer prices, industrial production, retail sales) showed strong evidence of informed trading before their public release until 2017. This pre-announcement price drift weakens, however with the end of the pre-release access.

Analogously, the market reaction to announcements at the official release time has become stronger.

Booking

This seminar is free to attend with no booking in advance. Please encourage your friends, colleagues and classmates to come along.

Speaker bio

Professor Alexander Kurov is the Fred T. Tattersal Research Chair in Finance at the John Chambers College of Business and Economics at West Virginia University.

Professor Kurov's research interests are in the financial market efficiency, future markets and commodity markets.

His work examines price discovery, informed trading and the effect of public announcement on asset prices.

Professor Kurov's research has been published in the following scholarly journals:

• Journal of Financial and Quantitative Analysis 
• Management Science
• Journal of Banking and Finance
• Journal of Financial Intermediation 
• Journal of Empirical Finance 
• Journal of International Money and Finance
• Journal of Future Markets

His research has also featured prominently in international media such as:

• Wall Street Journal
• Financial Times
• CNN Money
• CNBC
• Bloomberg
• BBC

Professor Kurov is also an associate editor of the Journal of Commodity Markets and holds the Chartered Financial Analyst designation.