Information shocks, disagreement, and drift
We examine the effects of investor disagreement on price discovery using a recurring public information event in the highly liquid crude oil futures market, a market free of short sale constraints. We show that prices reflect positive news within one-half second of trading but continue to drift for...
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| Veröffentlicht in: | Journal of financial economics 2021-06, Vol.140 (3), p.916-940 |
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| container_end_page | 940 |
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| container_issue | 3 |
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| container_title | Journal of financial economics |
| container_volume | 140 |
| creator | Armstrong, Will J. Cardella, Laura Sabah, Nasim |
| description | We examine the effects of investor disagreement on price discovery using a recurring public information event in the highly liquid crude oil futures market, a market free of short sale constraints. We show that prices reflect positive news within one-half second of trading but continue to drift for five minutes when news is negative. Evidence suggests the drift arises from a systematic surge in buying pressure that impedes the price discovery process when news is negative. Our results are consistent with price drift arising from differences in trading horizons, where traders taking long positions condition trades on information beyond the news. |
| doi_str_mv | 10.1016/j.jfineco.2021.02.002 |
| format | Article |
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We show that prices reflect positive news within one-half second of trading but continue to drift for five minutes when news is negative. Evidence suggests the drift arises from a systematic surge in buying pressure that impedes the price discovery process when news is negative. Our results are consistent with price drift arising from differences in trading horizons, where traders taking long positions condition trades on information beyond the news.</description><identifier>ISSN: 0304-405X</identifier><identifier>EISSN: 1879-2774</identifier><identifier>DOI: 10.1016/j.jfineco.2021.02.002</identifier><language>eng</language><publisher>Amsterdam: Elsevier B.V</publisher><subject>Asymmetric price drift ; Business schools ; Commodity futures ; Disagreement ; Discovery ; Financial markets ; Futures market ; Futures trading ; High frequency trading ; Intraday news ; Investors ; News ; Petroleum ; Petroleum industry ; Prices ; Trading</subject><ispartof>Journal of financial economics, 2021-06, Vol.140 (3), p.916-940</ispartof><rights>2021 Elsevier B.V.</rights><rights>COPYRIGHT 2021 Elsevier B.V.</rights><rights>Copyright Elsevier Sequoia S.A. 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We show that prices reflect positive news within one-half second of trading but continue to drift for five minutes when news is negative. Evidence suggests the drift arises from a systematic surge in buying pressure that impedes the price discovery process when news is negative. Our results are consistent with price drift arising from differences in trading horizons, where traders taking long positions condition trades on information beyond the news.</description><subject>Asymmetric price drift</subject><subject>Business schools</subject><subject>Commodity futures</subject><subject>Disagreement</subject><subject>Discovery</subject><subject>Financial markets</subject><subject>Futures market</subject><subject>Futures trading</subject><subject>High frequency trading</subject><subject>Intraday news</subject><subject>Investors</subject><subject>News</subject><subject>Petroleum</subject><subject>Petroleum industry</subject><subject>Prices</subject><subject>Trading</subject><issn>0304-405X</issn><issn>1879-2774</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2021</creationdate><recordtype>article</recordtype><recordid>eNqFkE1LAzEQhoMoWKs_QVgQvNhd87HJ7p5Eih-FghcFbyGdna1Z26Qmqei_d0t7dy5zed53mIeQS0YLRpm67Yu-sw7BF5xyVlBeUMqPyIjVVZPzqiqPyYgKWuYlle-n5CzGng5TyWZEbmau82FtkvUuix8ePuMka200y4C4RpcmmXFt1gbbpXNy0plVxIvDHpO3x4fX6XM-f3maTe_nOZSUpbyDkpm2Y6AYq6ARUAuKigsOquoWHLFuGlVTo5SRYsFrBAmSyQpBKNkKIcbkat-7Cf5rizHp3m-DG05qLkteSsWEGqjrPbU0K9TWgXcJf9LSbGPU-l4pJhmvazmAcg9C8DEG7PQm2LUJv5pRvROoe30QqHcCNeV6EDjk7vY5HH79thh0BIsOsLUBIenW238a_gAsXHlv</recordid><startdate>202106</startdate><enddate>202106</enddate><creator>Armstrong, Will J.</creator><creator>Cardella, Laura</creator><creator>Sabah, Nasim</creator><general>Elsevier B.V</general><general>Elsevier Sequoia S.A</general><scope>AAYXX</scope><scope>CITATION</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope></search><sort><creationdate>202106</creationdate><title>Information shocks, disagreement, and drift</title><author>Armstrong, Will J. ; Cardella, Laura ; Sabah, Nasim</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c401t-fc41adf1c6117c93c830e6232c67fb2ee899680a66a53b28ec5c5157ec365d333</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2021</creationdate><topic>Asymmetric price drift</topic><topic>Business schools</topic><topic>Commodity futures</topic><topic>Disagreement</topic><topic>Discovery</topic><topic>Financial markets</topic><topic>Futures market</topic><topic>Futures trading</topic><topic>High frequency trading</topic><topic>Intraday news</topic><topic>Investors</topic><topic>News</topic><topic>Petroleum</topic><topic>Petroleum industry</topic><topic>Prices</topic><topic>Trading</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Armstrong, Will J.</creatorcontrib><creatorcontrib>Cardella, Laura</creatorcontrib><creatorcontrib>Sabah, Nasim</creatorcontrib><collection>CrossRef</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><jtitle>Journal of financial economics</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Armstrong, Will J.</au><au>Cardella, Laura</au><au>Sabah, Nasim</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Information shocks, disagreement, and drift</atitle><jtitle>Journal of financial economics</jtitle><date>2021-06</date><risdate>2021</risdate><volume>140</volume><issue>3</issue><spage>916</spage><epage>940</epage><pages>916-940</pages><issn>0304-405X</issn><eissn>1879-2774</eissn><abstract>We examine the effects of investor disagreement on price discovery using a recurring public information event in the highly liquid crude oil futures market, a market free of short sale constraints. 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| fulltext | fulltext |
| identifier | ISSN: 0304-405X |
| ispartof | Journal of financial economics, 2021-06, Vol.140 (3), p.916-940 |
| issn | 0304-405X 1879-2774 |
| language | eng |
| recordid | cdi_proquest_journals_2542456136 |
| source | Elsevier ScienceDirect Journals |
| subjects | Asymmetric price drift Business schools Commodity futures Disagreement Discovery Financial markets Futures market Futures trading High frequency trading Intraday news Investors News Petroleum Petroleum industry Prices Trading |
| title | Information shocks, disagreement, and drift |
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