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政大典藏 > College of Commerce > Department of Finance > Periodical Articles > Item 140.119/133653

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/133653

Title:	Tiered Information Disclosure: An Empirical Analysis of the Advance Peek into the Michigan Index of Consumer Sentiment
Authors:	張元晨 Chang, Yuanchen Wu, Weishao Liu, Wenchien Suardi, Sandy
Contributors:	財管系
Keywords:	informed trading;high-frequency traders;advance peek;information efficiency;price discovery
Date:	2019-08
Issue Date:	2021-01-21 09:47:06 (UTC+8)
Abstract:	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.
Relation:	Financial Review, Vol.54, pp.541-582
Data Type:	article
DOI link:	https://doi.org/10.1111/fire.12184
DOI:	10.1111/fire.12184
Appears in Collections:	[Department of Finance] Periodical Articles

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