Tiered Information Disclosure: An Empirical Analysis of the Advance Peek into the Michigan Index of Consumer Sentiment

Autor:	Yuanchen Chang, Sandy Suardi, Weishao Wu, Wenchien Liu
Rok vydání:	2019
Předmět:	040101 forestry Economics and Econometrics 050208 finance Index (economics) Financial economics 05 social sciences Adverse selection 04 agricultural and veterinary sciences Market microstructure Price discovery Market liquidity 0502 economics and business Information disclosure 0401 agriculture forestry and fisheries Consumer confidence index Business High-frequency trading Finance
Zdroj:	Financial Review. 54:541-582
ISSN:	1540-6288 0732-8516
DOI:	10.1111/fire.12184
Popis:	This paper studies market microstructure implications of informed high‐frequency traders (HFTs) from two seconds of advance peek into the Michigan Index of Consumer Sentiment (ICS), provided by Thomson Reuters to its elite customers. Using individual stocks in the NASDAQ data set, we show how HFTs trade around ICS events. We find that liquidity demanders during two seconds of advance peek earn substantive profits, which are consistent with the notion that HFTs’ informational advantages may increase adverse selection costs for other market participants. This evidence elucidates the debate on regulatory oversight and its role in circumventing the potentially adverse effects from an advance peek into ICS.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::ac68039d1d3cc0abf13dbd630ee66e99 https://doi.org/10.1111/fire.12184 Zobrazit plný text záznamu Plný text ve formátu PDF Plný text ve formátu HTML
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