'Trading on Leaked Macroeconomic Data'

Carola Binder:

Trading on Leaked Macroeconomic Data: The official release times of U.S. macroeconomic data are big deals in financial markets. A new paper finds evidence of substantial informed trading before the official release time of certain macroeconomic variables, suggesting that information is often leaked. Alexander Kurov, Alessio Sancetta, Georg H. Strasser, and Marketa Halova Wolfe examine high-frequency stock index and Treasury futures markets data around releases of U.S. macroeconomic announcement...

They consider the 30 macroeconomic announcements that other authors have shown tend to move markets...

Why do prices start to move before release time? It could be that some traders are superior forecasters, making better use of publicly-available information, and waiting until a few minutes before the announcement to make their trades. Alternatively, information might be leaked before the official release. Kurov et al. note that, while the first possibility cannot be ruled out entirely, the leaked information explanation appears highly likely. ...

I wish I had a better sense of who was obtaining the leaked information and how much they were making from it.